0001752724-20-037575.txt : 20200226
0001752724-20-037575.hdr.sgml : 20200226
20200226164341
ACCESSION NUMBER: 0001752724-20-037575
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200226
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Legg Mason ETF Investment Trust
CENTRAL INDEX KEY: 0001645194
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1130
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23096
FILM NUMBER: 20656424
BUSINESS ADDRESS:
STREET 1: 620 EIGHTH AVE
STREET 2: 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
BUSINESS PHONE: 877-721-1926
MAIL ADDRESS:
STREET 1: 620 EIGHTH AVE
STREET 2: 49TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10018
FORMER COMPANY:
FORMER CONFORMED NAME: Legg Mason ETF InvestmentTrust
DATE OF NAME CHANGE: 20170221
FORMER COMPANY:
FORMER CONFORMED NAME: Legg Mason ETF Equity Trust
DATE OF NAME CHANGE: 20150615
0001645194
S000059365
Western Asset Total Return ETF
C000194756
Western Asset Total Return ETF
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001645194
XXXXXXXX
S000059365
C000194756
Legg Mason ETF Investment Trust
811-23096
0001645194
549300D7ZZ1A7JJ9G964
620 Eighth Avenue
49thFloor
New York
10018
1-877-721-1926
Western Asset Total Return ETF
S000059365
549300IW55ZZ0YDJ0R05
2019-12-31
2019-12-31
N
163878748.64
56353109.15
107525639.49
0
0
0
0
0
0
0
0
0
0
10260548.1
25298914.11
0
1590366.55
USD
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AY0
190000.00000000
PA
USD
209223.71000000
0.194580298236
Long
DBT
CORP
US
N
2
2025-07-23
Fixed
4.90800000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AE8
60000.00000000
PA
USD
54300.00000000
0.050499583408
Long
DBT
CORP
US
N
2
2026-07-15
Fixed
6.62500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DV4K8
589456.59000000
PA
USD
614371.19000000
0.571371807611
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
4.00000000
N
N
N
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65336RAW8
50000.00000000
PA
USD
50222.20000000
0.046707185596
Long
LON
CORP
US
N
2
2026-09-19
Floating
4.53510000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2G8
200000.00000000
PA
USD
216709.50000000
0.201542163364
Long
DBT
CORP
FR
N
2
2025-01-10
Fixed
4.70500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHC6
100000.00000000
PA
USD
102334.48000000
0.095172165899
Long
DBT
CORP
US
N
2
2023-12-20
Fixed
3.00400000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2C6
60000.00000000
PA
USD
63439.56000000
0.058999472405
Long
DBT
CORP
US
N
2
2024-01-24
Fixed
3.75000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BN7
30000.00000000
PA
USD
32430.71000000
0.030160908741
Long
DBT
CORP
US
N
2
2025-08-15
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032617
5100000.00000000
PA
USD
5246425.74000000
4.879232306716
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
3.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-235.99000000
-0.00021947323
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-100000.00000000
EUR
112130.31000000
USD
2020-01-17
-235.99
N
N
N
VICI PROPERTIES INC
549300XI4XP4JVS3XU20
VICI Properties 1 LLC
92565EAB9
30000.00000000
PA
USD
30112.50000000
0.028004948533
Long
LON
CORP
US
N
2
2024-12-22
Floating
3.93480000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QB4Q8
2569908.43200000
PA
USD
2674919.21000000
2.487703605100
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.50000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VER1
90000.00000000
PA
USD
102147.22000000
0.094998012087
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
4.32900000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGTR9
98962.63600000
PA
USD
100990.54000000
0.093922287260
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AE5
30000.00000000
PA
USD
36104.71000000
0.033577768215
Long
DBT
CORP
US
N
2
2041-03-01
Fixed
6.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
2821.39000000
0.002623923013
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-95445.37000000
USD
74142.00000000
GBP
2020-01-17
2821.39
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
1217.08000000
0.001131897476
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-24809.35000000
USD
364739.00000000
ZAR
2020-01-17
1217.08
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
800000.00000000
PA
USD
803406.25000000
0.747176444437
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
2.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
11271.85000000
0.010482941606
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-15
0
USD
0
USD
1870000
USD
17329.69
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UQ62
358730.29610000
PA
USD
374641.29000000
0.348420424911
Long
ABS-MBS
USGA
US
N
2
2049-04-20
Fixed
4.50000000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAH6
200000.00000000
PA
USD
211204.77000000
0.196422705321
Long
DBT
CORP
GB
N
2
2024-03-12
Fixed
3.90000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
1409.49000000
0.001310840843
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-47320.97000000
USD
36767.00000000
GBP
2020-01-17
1409.49
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAV8
110000.00000000
PA
USD
122791.91000000
0.114197795597
Long
DBT
CORP
US
N
2
2029-07-23
Fixed
4.20300000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378KJP5
17439035.21000000
PA
USD
248692.85000000
0.231287022499
Long
ABS-MBS
USGA
US
N
2
2048-10-16
Variable
0.18776000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
1306.31000000
0.001214882335
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-62036.38000000
USD
1199197.00000000
MXN
2020-01-17
1306.31
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-15.00000000
NC
USD
-468.75000000
-0.00043594253
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
0.00000000
USD
1000.00000000
133.5
USD
2020-02-21
XXXX
1380.3
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
-43.00000000
NC
USD
4747.20000000
0.004414947004
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Short
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-03-16
-10568234.7
USD
4747.2
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BR4
230000.00000000
PA
USD
260971.12000000
0.242705945519
Long
DBT
CORP
US
N
2
2029-03-30
Fixed
5.05000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS CAD
000000000
1.00000000
NC
-42482.10000000
-0.03950880943
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2024-08-13
0
CAD
0
CAD
2470000
CAD
-42482.1
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31329PYK3
631317.57800000
PA
USD
667251.47000000
0.620551036166
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AE7
70000.00000000
PA
USD
72015.47000000
0.066975160846
Long
DBT
CORP
US
N
2
2026-08-18
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K1AQ9
298699.52000000
PA
USD
305493.63000000
0.284112358177
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVC77
100000.00000000
PA
USD
102122.07000000
0.094974622317
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.80000000
N
N
N
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
25840000.00000000
PA
1451125.91000000
1.349562687450
Long
DBT
NUSS
MX
N
2
2042-11-13
Fixed
7.75000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
-2.89000000
-0.00000268773
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-25920.03000000
USD
1853023.00000000
INR
2020-01-17
-2.89
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2873.31000000
-0.00267220917
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-5577843.00000000
RUB
86747.17000000
USD
2020-01-17
-2873.31
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780099CH8
350000.00000000
PA
USD
379226.12000000
0.352684366071
Long
DBT
CORP
GB
N
2
2024-05-28
Fixed
5.12500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179VBF6
600000.00000000
PA
USD
616695.38000000
0.573533329283
Long
ABS-MBS
USGA
US
N
2
2049-12-20
Fixed
3.00000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
-82.00000000
NC
USD
-16912.50000000
-0.01572880671
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Put
Written
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2021-03-15
0.00000000
USD
2500.00000000
98.5
USD
2020-01-10
XXXX
12190.3
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
70000.00000000
PA
USD
70426.58000000
0.065497476075
Long
LON
CORP
US
N
2
2025-04-30
Floating
3.55480000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBB0
180000.00000000
PA
USD
183784.69000000
0.170921736314
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
3.55700000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SAR4
10000.00000000
PA
USD
11299.18000000
0.010508358800
Long
DBT
CORP
US
N
2
2044-01-31
Fixed
5.37500000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKY7
118230.14000000
PA
USD
124129.21000000
0.115441498965
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
4.50000000
N
N
N
N
N
N
ANGLO AMERICAN CAPITAL
TINT358G1SSHR3L3PW36
Anglo American Capital PLC
034863AT7
200000.00000000
PA
USD
209589.39000000
0.194920384565
Long
DBT
CORP
GB
N
2
2027-09-11
Fixed
4.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4783.36000000
-0.00444857619
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-1480000.00000000
CNY
207559.08000000
USD
2020-01-17
-4783.36
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
5313.10000000
0.004941240084
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-194384.12000000
USD
150671.00000000
GBP
2020-01-17
5313.1
N
N
N
DELL INT LLC / EMC CORP
N/A
Dell International LLC / EMC Corp
25272KAD5
160000.00000000
PA
USD
164657.86000000
0.153133578912
Long
DBT
CORP
US
N
2
2021-06-15
Fixed
4.42000000
N
N
N
N
N
N
API GROUP DE INC
549300XP4G7B4QYA0G83
APi Group DE Inc
00186XAB9
50000.00000000
PA
USD
50343.75000000
0.046820228402
Long
LON
CORP
US
N
2
2026-10-01
Floating
4.28090000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J9PC9
511273.22000000
PA
USD
532778.41000000
0.495489645564
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
3899.12000000
0.003626223492
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-565013.72000000
USD
737674.00000000
CAD
2020-01-17
3899.12
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBT4
30000.00000000
PA
USD
33648.42000000
0.031293392124
Long
DBT
CORP
US
N
2
2048-10-06
Fixed
4.43900000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
78009PEH0
200000.00000000
PA
USD
230075.59000000
0.213972770672
Long
DBT
CORP
GB
N
2
2030-01-27
Fixed
5.07600000
N
N
N
N
N
N
UBS GROUP AG
506700Q800G1L95S7805
UBS Group AG
90352JAF0
200000.00000000
PA
USD
218500.00000000
0.203207347602
Long
DBT
CORP
CH
N
2
N/A
Fixed
7.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADUE6
80419.96100000
PA
USD
83965.42000000
0.078088742739
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
4.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2019-UVIL
12656DAA1
260000.00000000
PA
USD
264082.65000000
0.245599701850
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Fixed
3.15950000
N
N
N
N
N
N
Garda World Security Corp
N/A
GARDA SECURITY TL 10/26
000000000
30000.00000000
PA
USD
30137.49000000
0.028028189502
Long
LON
CORP
CA
N
2
2026-10-30
Floating
6.44710000
N
N
N
N
N
N
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
SWOP IRS USD
000000000
-320000.00000000
NC
USD
-876.53000000
-0.00081518231
N/A
DIR
CORP
US
N
2
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
Put
Written
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2020-02-04
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.77
USD
2020-02-04
XXXX
-116.53
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2A0
100000.00000000
PA
USD
106306.66000000
0.098866335977
Long
DBT
CORP
US
N
2
2028-05-22
Fixed
3.58400000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac Structured Agency Credit Risk Debt Notes
3137G0MD8
250000.00000000
PA
USD
262745.30000000
0.244355951981
Long
ABS-MBS
CORP
US
N
2
2029-07-25
Floating
5.04200000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBQ1
150000.00000000
PA
USD
151213.80000000
0.140630458667
Long
DBT
CORP
US
N
2
2024-11-21
Fixed
2.60000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H022614
-100000.00000000
PA
USD
-100425.78000000
-0.09339705439
Short
ABS-MBS
USGA
US
N
2
2050-01-01
Fixed
2.50000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAJ9
110000.00000000
PA
USD
120168.50000000
0.111757996111
Long
DBT
CORP
US
N
2
2025-06-01
Fixed
4.87500000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CZ6
40000.00000000
PA
USD
41203.24000000
0.038319455894
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
4.85000000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AE1
40000.00000000
PA
USD
42431.61000000
0.039461853192
Long
DBT
CORP
US
N
2
2029-03-15
Fixed
4.37500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280AU3
200000.00000000
PA
USD
213908.17000000
0.198936896366
Long
DBT
CORP
GB
N
2
2025-08-18
Fixed
4.25000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
31339UYY0
1390332.14610000
PA
USD
1422254.52000000
1.322711984551
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
BARRICK NA FINANCE LLC
N/A
Barrick North America Finance LLC
06849RAK8
50000.00000000
PA
USD
63665.25000000
0.059209366530
Long
DBT
CORP
US
N
2
2043-05-01
Fixed
5.75000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BF1
130000.00000000
PA
USD
134838.48000000
0.125401235128
Long
DBT
CORP
US
N
2
2030-01-15
Fixed
4.25000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBL2
170000.00000000
PA
USD
170859.27000000
0.158900956841
Long
DBT
CORP
US
N
2
2022-11-21
Fixed
2.30000000
N
N
N
N
N
N
VVC HOLDING CORP
549300Z86PUW4ENZCD61
VVC Holding Corp
04685YAK5
226.13000000
PA
USD
226.98000000
0.000211093838
Long
LON
CORP
US
N
2
2026-02-11
Floating
6.40060000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
-1800000.00000000
PA
USD
-1849289.06000000
-1.71985869488
Short
ABS-MBS
USGA
US
N
2
2048-01-15
Fixed
3.00000000
N
N
N
N
N
N
ECOPETROL SA
254900IDGKCJICKBPA66
Ecopetrol SA
279158AJ8
800000.00000000
PA
USD
943000.00000000
0.877000131757
Long
DBT
CORP
CO
N
2
2045-05-28
Fixed
5.87500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
-141.15000000
-0.00013127101
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-129435.63000000
USD
9244293.00000000
INR
2020-01-17
-141.15
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR8
92922FR75
75083.69000000
PA
USD
74286.81000000
0.069087531450
Long
ABS-MBS
CORP
US
N
2
2045-07-25
Floating
2.37200000
N
N
N
N
N
N
LENNAR CORP
529900G61XVRLX5TJX09
Lennar Corp
526057BZ6
40000.00000000
PA
USD
42300.00000000
0.039339454478
Long
DBT
CORP
US
N
2
2024-04-30
Fixed
4.50000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LBA1
60000.00000000
PA
USD
63716.18000000
0.059256731977
Long
DBT
CORP
LU
N
2
2026-03-11
Fixed
4.55000000
N
N
N
N
N
N
REPUBLIC OF ARGENTINA
549300KPBYGYF7HCHO27
Argentine Republic Government International Bond
040114HP8
150000.00000000
PA
USD
74251.50000000
0.069054692771
Long
DBT
NUSS
AR
N
2
2023-01-11
Fixed
4.62500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HBC0
200000.00000000
PA
USD
203371.90000000
0.189138052063
Long
DBT
CORP
IT
N
2
2023-01-12
Fixed
3.37500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1620.79000000
-0.00150735211
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-805601.00000000
CNY
113962.51000000
USD
2020-01-17
-1620.79
N
N
N
FORD MOTOR CREDIT CO LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co LLC
345397VU4
200000.00000000
PA
USD
209385.20000000
0.194730485671
Long
DBT
CORP
US
N
2
2021-08-02
Fixed
5.87500000
N
N
N
N
N
N
UNITED MEXICAN STATES
254900EGTWEU67VP6075
Mexico Government International Bond
91086QBB3
1010000.00000000
PA
USD
1116050.00000000
1.037938491036
Long
DBT
NUSS
MX
N
2
2044-03-08
Fixed
4.75000000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280CC1
400000.00000000
PA
USD
431345.95000000
0.401156367956
Long
DBT
CORP
GB
N
2
2030-05-22
Fixed
3.97300000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCT6
350000.00000000
PA
USD
394220.40000000
0.366629207573
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.15000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
73.00000000
NC
USD
570.35000000
0.000530431627
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Put
Purchased
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
0.00000000
USD
1000.00000000
114.25
USD
2020-02-21
XXXX
-1266.91
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
82.00000000
NC
USD
512.50000000
0.000476630506
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2021-03-15
0.00000000
USD
2500.00000000
98.25
USD
2020-01-10
XXXX
-9909.7
N
N
N
FOX CORP
549300DDU6FDRBIELS05
Fox Corp
35137LAD7
180000.00000000
PA
USD
220246.79000000
0.204831881070
Long
DBT
CORP
US
N
2
2039-01-25
Fixed
5.47600000
N
N
N
N
N
N
GOLDEN NUGGET
91D14OD6M4H1RVBN7R43
Golden Nugget LLC
51508PAG9
60000.00000000
PA
USD
60156.84000000
0.055946507535
Long
LON
CORP
US
N
2
2023-10-04
Floating
4.65910000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2D4
390000.00000000
PA
USD
434445.89000000
0.404039345462
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
4.15000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - ZAR
000000000
1.00000000
NC
USD
5871.09000000
0.005460176780
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-60730.11000000
USD
933361.00000000
ZAR
2020-01-17
5871.09
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B4KB3
30000.00000000
PA
USD
31776.16000000
0.029552170208
Long
ABS-MBS
USGSE
US
N
2
2029-01-25
Fixed
3.27300000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
877.35000000
0.000815944926
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-30025.11000000
USD
585042.00000000
MXN
2020-01-17
877.35
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-866.88000000
-0.00080620771
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-146929.00000000
EUR
164231.80000000
USD
2020-01-17
-866.88
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBH1
10000.00000000
PA
USD
10476.82000000
0.009743555164
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
SUNRUN CALLISTO ISSUER LLC
N/A
Sunrun Atlas Issuer 2019-2 LLC
86772FAA9
100000.00000000
PA
USD
99314.70000000
0.092363738054
Long
ABS-O
CORP
US
N
2
2055-02-01
Fixed
3.61000000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBW8
250000.00000000
PA
USD
254338.62000000
0.236537649258
Long
DBT
CORP
US
N
2
2029-11-21
Fixed
3.20000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AQ1
30000.00000000
PA
USD
30983.40000000
0.028814894891
Long
DBT
CORP
US
N
2
2027-10-27
Fixed
3.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2018-IND
056059AS7
133000.01000000
PA
USD
133331.01000000
0.123999271831
Long
ABS-MBS
CORP
US
N
2
2035-11-15
Floating
3.78975000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MD0
140000.00000000
PA
USD
175116.24000000
0.162859984679
Long
DBT
CORP
US
N
2
2048-07-23
Fixed
4.65000000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BY9
390000.00000000
PA
USD
416873.61000000
0.387696936263
Long
DBT
CORP
US
N
2
2027-02-06
Fixed
3.30000000
N
N
N
N
N
N
522 Funding CLO LTD
549300HKB0UTKU91DG08
522 Funding Clo I Ltd
33830NAA4
250000.00000000
PA
USD
241552.00000000
0.224645955276
Long
ABS-CBDO
CORP
KY
N
2
2033-01-15
Floating
0.01000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
CDS VOLKSWAGEN INTERNATIONAL
000000000
1.00000000
NC
7717.76000000
0.007177599720
N/A
DCR
CORP
FR
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
VOLKSWAGEN INTERNATIONAL FINANCE NV
VOLKSWAGEN INTERNATIONAL FINANCE NV
Y
Default Event
2024-12-20
6733.67
USD
0
USD
-530000
EUR
737.2
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BN3
120000.00000000
PA
USD
140150.92000000
0.130341861406
Long
DBT
CORP
US
N
2
2048-04-01
Fixed
5.75000000
N
N
N
N
N
N
BLUE RACER MID LLC/FINAN
N/A
Blue Racer Midstream LLC / Blue Racer Finance Corp
095796AA6
10000.00000000
PA
USD
9800.00000000
0.009114105292
Long
DBT
CORP
US
N
2
2022-11-15
Fixed
6.12500000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B35Z9
10000.00000000
PA
USD
10866.19000000
0.010105673448
Long
ABS-MBS
USGSE
US
N
2
2031-02-25
Fixed
3.61000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W7
040104JB8
70450.32000000
PA
USD
70311.28000000
0.065390245836
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
2.61700000
N
N
N
N
N
N
NOBLE ENERGY INC
02VFQXG2D1LR5ZH3K186
Noble Energy Inc
655044AP0
60000.00000000
PA
USD
63401.75000000
0.058964308699
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.85000000
N
N
N
N
N
N
HALLIBURTON CO
ENYF8GB5SMQZ25S06U51
Halliburton Co
406216BG5
50000.00000000
PA
USD
53339.54000000
0.049606345289
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
3.80000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBG7
10000.00000000
PA
USD
11915.84000000
0.011081859225
Long
DBT
CORP
US
N
2
2059-02-14
Fixed
6.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWS4
0.01000000
PA
USD
0.01000000
0.000000009300
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.26000000
N
N
N
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BC8
60000.00000000
PA
USD
55336.97000000
0.051463976650
Long
DBT
CORP
US
N
2
2044-01-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QBB31
96628.79400000
PA
USD
100577.13000000
0.093537811518
Long
ABS-MBS
USGSE
US
N
2
2049-06-01
Fixed
3.50000000
N
N
N
N
N
N
LAS VEGAS SANDS CORP
549300DUOO1KXOHPM605
Las Vegas Sands Corp
517834AG2
160000.00000000
PA
USD
164736.88000000
0.153207068361
Long
DBT
CORP
US
N
2
2024-08-08
Fixed
3.20000000
N
N
N
N
N
N
VVC HOLDING CORP
549300Z86PUW4ENZCD61
VVC Holding Corp
04685YAK5
89773.87000000
PA
USD
90110.52000000
0.083803751763
Long
LON
CORP
US
N
2
2026-02-11
Floating
6.40060000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CX6
420000.00000000
PA
USD
458825.33000000
0.426712486599
Long
DBT
CORP
US
N
2
2028-03-25
Fixed
4.30000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CP8
20000.00000000
PA
USD
20207.89000000
0.018793554817
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UH62
0.02800000
PA
USD
0.03000000
0.000000027900
Long
ABS-MBS
USGA
US
N
2
2048-12-20
Fixed
5.00000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBB8
10000.00000000
PA
USD
10530.66000000
0.009793626943
Long
DBT
CORP
US
N
2
2024-02-14
Fixed
3.80000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030413
-200000.00000000
PA
USD
-204976.56000000
-0.19063040310
Short
ABS-MBS
USGSE
US
N
2
2035-01-15
Fixed
3.00000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BF8
70000.00000000
PA
USD
75339.63000000
0.070066665362
Long
DBT
CORP
US
N
2
2027-03-15
Fixed
3.95000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
1304.30000000
0.001213013013
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-47977.52000000
USD
37183.00000000
GBP
2020-01-17
1304.3
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
102.58000000
0.000095400502
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-101816.12000000
USD
7286980.00000000
INR
2020-01-17
102.58
N
N
N
GS Mortgage Securities Trust
5493005BBCF84ICNQ550
GS Mortgage Securities Corp II
36255TAL6
400000.00000000
PA
USD
399997.76000000
0.372002214445
Long
ABS-MBS
CORP
US
N
2
2031-09-15
Floating
5.48975000
N
N
N
N
N
N
MICROSOFT CORP
INR2EJN1ERAN0W5ZP974
Microsoft Corp
594918BW3
20000.00000000
PA
USD
20282.73000000
0.018863156821
Long
DBT
CORP
US
N
2
2022-02-06
Fixed
2.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131Y3GG5
2509765.82500000
PA
USD
2608369.10000000
2.425811287774
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAD6
123553.62000000
PA
USD
134275.13000000
0.124877313575
Long
ABS-MBS
CORP
US
N
2
2024-01-25
Floating
6.19200000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
20.94000000
0.000019474424
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-1000000.00000000
JPY
9231.14000000
USD
2020-01-17
20.94
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWT2
10000.00000000
PA
USD
10621.02000000
0.009877662714
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.26000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
9362.07000000
0.008706825687
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-335794.92000000
USD
260420.00000000
GBP
2020-01-17
9362.07
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
186.00000000
NC
USD
-66271.77000000
-0.06163345813
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
22127615.52
USD
-66271.77
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
1104.58000000
0.001027271267
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-161416.49000000
USD
210731.00000000
CAD
2020-01-17
1104.58
N
N
N
GFL ENVIRONMENTAL INC
5493008HF9XC5H29ZX61
GFL Environmental Inc
000000000
10000.00000000
PA
USD
10001.79000000
0.009301772160
Long
LON
CORP
CA
N
2
2025-05-31
Floating
4.90550000
N
N
N
N
N
N
Residential Asset Securities C
N/A
RASC Series 2005-KS12 Trust
753910AD0
87022.45000000
PA
USD
87101.77000000
0.081005581936
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
2.23200000
N
N
N
N
N
N
LLOYDS BANKING GROUP PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
539439AR0
200000.00000000
PA
USD
220597.72000000
0.205158249740
Long
DBT
CORP
GB
N
2
2028-03-22
Fixed
4.37500000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SJ8
200000.00000000
PA
USD
194562.50000000
0.180945215413
Long
DBT
UST
US
N
2
2049-08-15
Fixed
2.25000000
N
N
N
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BM1
40000.00000000
PA
USD
57537.00000000
0.053510028187
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
8.75000000
N
N
N
N
N
N
ARGENTINA POM FRN 6/20
549300KPBYGYF7HCHO27
ARGENTINA POM FRN 6/20
000000000
1610000.00000000
PA
14146.33000000
0.013156238890
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
56.58948200
N
N
N
N
N
N
XPO LOGISTICS INC
54930096DB9LCLPN7H13
XPO Logistics Inc
983793AD2
10000.00000000
PA
USD
10190.00000000
0.009476809483
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
6.50000000
N
N
N
N
N
N
HUMANA INC
529900YLDW34GJAO4J06
Humana Inc
444859BK7
190000.00000000
PA
USD
193820.64000000
0.180255277642
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.12500000
N
N
N
N
N
N
UFC HOLDINGS LLC
549300JEOTH7UMZ3C491
UFC Holdings LLC
90266UAF0
80000.00000000
PA
USD
80460.00000000
0.074828664476
Long
LON
CORP
US
N
2
2026-04-29
Floating
5.04940000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CP8
110000.00000000
PA
USD
112580.93000000
0.104701474489
Long
DBT
CORP
US
N
2
2035-02-01
Fixed
3.25000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
15.00000000
NC
USD
5156.25000000
0.004795367899
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Purchased
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
0.00000000
USD
1000.00000000
118.5
USD
2020-01-24
XXXX
794.35
N
N
N
WILLIAMS COS INC
D71FAKCBLFS2O0RBPG08
Williams Cos Inc/The
969457BD1
50000.00000000
PA
USD
66686.73000000
0.062019375393
Long
DBT
CORP
US
N
2
2031-06-15
Fixed
7.75000000
N
N
N
N
N
N
HalseyPoint CLO I, Ltd.
N/A
Halsey Point CLO I Ltd
40638CAA7
300000.00000000
PA
USD
290820.00000000
0.270465724621
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
9.60697000
N
N
N
N
N
N
GENERAL MOTORS FINL CO
5493008B6JBRUJ90QL97
General Motors Financial Co Inc
37045XAW6
130000.00000000
PA
USD
132955.70000000
0.123650229499
Long
DBT
CORP
US
N
2
2022-04-10
Fixed
3.45000000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust 2017-GS8
36254KAU6
401000.00000000
PA
USD
423294.72000000
0.393668637552
Long
ABS-MBS
CORP
US
N
2
2050-11-10
Variable
4.33670500
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
3145.84000000
0.002925664999
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-152619.51000000
USD
2948933.00000000
MXN
2020-01-17
3145.84
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
163.00000000
NC
USD
-162651.54000000
-0.15126767975
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
21095417.17
USD
-162651.54
N
N
N
OHA Loan Funding Ltd
25490072LQI0R2J4XC93
OHA Loan Funding 2015-1 Ltd
67109BCW2
250000.00000000
PA
USD
249353.00000000
0.231900969092
Long
ABS-CBDO
CORP
KY
N
2
2032-11-15
Floating
5.85071000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae I Pool
36178WDM8
107451.10700000
PA
USD
110841.47000000
0.103083758000
Long
ABS-MBS
USGA
US
N
2
2042-10-15
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XAF1
230085.58000000
PA
USD
239591.96000000
0.222823097017
Long
ABS-MBS
CORP
US
N
2
2024-05-25
Floating
4.39200000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4464.59000000
-0.00415211666
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-280000.00000000
EUR
310161.04000000
USD
2020-01-17
-4464.59
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHFW1
100000.00000000
PA
USD
102049.19000000
0.094906843134
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGL8
40000.00000000
PA
USD
43835.55000000
0.040767532476
Long
DBT
CORP
US
N
2
2027-07-22
Fixed
4.30000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ4B6
2799618.69000000
PA
USD
193854.28000000
0.180286563204
Long
ABS-MBS
USGSE
US
N
2
2029-10-25
Variable
0.83669000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP Paribas SA
09659W2H6
200000.00000000
PA
USD
235210.71000000
0.218748487445
Long
DBT
CORP
FR
N
2
2030-01-10
Fixed
5.19800000
N
N
N
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
Allied Universal Holdco LLC
01957TAC1
81457.40000000
PA
USD
81885.05000000
0.076153976287
Long
LON
CORP
US
N
2
2026-07-12
Floating
6.03090000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel 6 Trust 2017-MTL6
61975FAG4
304930.19000000
PA
USD
304751.78000000
0.283422429706
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
2.92975000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AH3
230000.00000000
PA
USD
254814.23000000
0.236979971668
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RBK7
70000.00000000
PA
USD
75572.85000000
0.070283562467
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
4.35000000
N
N
N
N
N
N
MTRO COMMERCIAL MORTGAGE TRUST
N/A
MTRO Commercial Mortgage Trust 2019-TECH
55378MAG4
100000.00000000
PA
USD
99812.42000000
0.092826623002
Long
ABS-MBS
CORP
US
N
2
2033-12-15
Floating
3.53975000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967ME8
310000.00000000
PA
USD
339391.14000000
0.315637406677
Long
DBT
CORP
US
N
2
2030-03-20
Fixed
3.98000000
N
N
N
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CD5
110000.00000000
PA
USD
114721.30000000
0.106692041585
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
3.20000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
2842.29000000
0.002643360238
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-61345.07000000
USD
91274.00000000
AUD
2020-01-17
2842.29
N
N
N
BOEING CO
RVHJWBXLJ1RFUBSY1F30
Boeing Co/The
097023CQ6
70000.00000000
PA
USD
74446.22000000
0.069235784463
Long
DBT
CORP
US
N
2
2050-02-01
Fixed
3.75000000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15135BAS0
40000.00000000
PA
USD
42054.00000000
0.039110671835
Long
DBT
CORP
US
N
2
2029-12-15
Fixed
4.62500000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
Fifth Third Bancorp
316773CX6
10000.00000000
PA
USD
10555.18000000
0.009816430806
Long
DBT
CORP
US
N
2
2024-01-25
Fixed
3.65000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae
21H030617
3400000.00000000
PA
USD
3493101.55000000
3.248621971994
Long
ABS-MBS
USGA
US
N
2
2050-01-20
Fixed
3.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B2HC9
100000.00000000
PA
USD
104906.88000000
0.097564525537
Long
ABS-MBS
USGSE
US
N
2
2028-04-25
Variable
3.12431800
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-670.89000000
-0.00062393490
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-340234.00000000
CNY
48144.05000000
USD
2020-01-17
-670.89
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HVEA8
100000.00000000
PA
USD
103184.91000000
0.095963074936
Long
ABS-MBS
USGSE
US
N
2
2031-08-01
Fixed
2.87000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTWQ8
9927.84000000
PA
USD
10462.00000000
0.009729772405
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.16000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HTW39
10000.00000000
PA
USD
10613.30000000
0.009870483031
Long
ABS-MBS
USGSE
US
N
2
2029-05-01
Fixed
3.24000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3131Y7SZ1
68932.44000000
PA
USD
73735.47000000
0.068574779326
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ADXZ6
137040.74000000
PA
USD
146378.59000000
0.136133661417
Long
ABS-MBS
USGSE
US
N
2
2049-01-01
Fixed
5.00000000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B4KJ6
20000.00000000
PA
USD
21463.82000000
0.019961583211
Long
ABS-MBS
USGSE
US
N
2
2029-01-01
Fixed
3.45000000
N
N
N
N
N
N
DELL INTERNATIONAL LLC
N/A
Dell International LLC
24702NBE9
90000.00000000
PA
USD
90521.55000000
0.084186014079
Long
LON
CORP
US
N
2
2025-09-19
Floating
3.78510000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796TE9
13440000.00000000
PA
USD
13420530.68000000
12.48123772493
Long
DBT
UST
US
N
1
2020-02-06
None
0.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
-62.50000000
-0.00005812567
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-50796.50000000
USD
3627378.00000000
INR
2020-01-17
-62.5
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
1305.46000000
0.001214091826
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-80124.36000000
USD
105585.00000000
CAD
2020-01-17
1305.46
N
N
N
ANTHEM INC
8MYN82XMYQH89CTMTH67
Anthem Inc
036752AB9
40000.00000000
PA
USD
42359.63000000
0.039394911019
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
3.65000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
64.00000000
NC
USD
-6271.90000000
-0.00583293438
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2021-03-15
15756671.9
USD
-6271.9
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JNA26
92143.77000000
PA
USD
95141.25000000
0.088482384714
Long
ABS-MBS
USGSE
US
N
2
2049-04-01
Fixed
3.50000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3128MJ4Y3
0.01380000
PA
USD
0.01000000
0.000000009300
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
5.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-672.90000000
-0.00062580422
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-100000.00000000
EUR
111693.40000000
USD
2020-01-17
-672.9
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
7249.77000000
0.006742363992
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-149278.49000000
USD
630000.00000000
BRL
2020-01-17
7249.77
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
1525.88000000
0.001419084794
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-61352.04000000
USD
1190398.00000000
MXN
2020-01-17
1525.88
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HSZR5
170000.00000000
PA
USD
183124.29000000
0.170307557219
Long
ABS-MBS
USGSE
US
N
2
2029-02-01
Fixed
3.52500000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDS8
220000.00000000
PA
USD
226443.65000000
0.210595027450
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
2.87500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
40.00000000
NC
USD
-8713.14000000
-0.00810331381
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-12-14
9846713.14
USD
-8713.14
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FQ3Y7
499322.65000000
PA
USD
494660.62000000
0.460039691320
Long
ABS-MBS
USGSE
US
N
2
2029-07-25
Fixed
2.19000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148LAF3
240000.00000000
PA
USD
295016.29000000
0.274368319406
Long
DBT
CORP
US
N
2
2045-05-22
Fixed
5.15000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
2119.65000000
0.001971297273
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-96323.39000000
USD
74275.00000000
GBP
2020-01-17
2119.65
N
N
N
INTL LEASE FINANCE CORP
N/A
International Lease Finance Corp
459745GN9
150000.00000000
PA
USD
163428.13000000
0.151989916800
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
5.87500000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B3XY1
100000.00000000
PA
USD
108132.90000000
0.100564758798
Long
ABS-MBS
USGSE
US
N
2
2028-09-25
Variable
3.55465500
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-162.76000000
-0.00015136854
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-142008.00000000
CNY
20211.78000000
USD
2020-01-17
-162.76
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFH2
70000.00000000
PA
USD
80230.47000000
0.074615199110
Long
DBT
CORP
US
N
2
2048-09-01
Fixed
4.45000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-196.13000000
-0.00018240300
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-3615085.00000000
PHP
71149.08000000
USD
2020-01-17
-196.13
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AA8
10000.00000000
PA
USD
10023.42000000
0.009321888293
Long
DBT
CORP
US
N
2
2031-07-15
Fixed
2.90200000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBE2
10000.00000000
PA
USD
11765.15000000
0.010941715906
Long
DBT
CORP
US
N
2
2039-02-14
Fixed
5.80000000
N
N
N
N
N
N
PHILIP MORRIS INTL INC
HL3H1H2BGXWVG3BSWR90
Philip Morris International Inc
718172CD9
170000.00000000
PA
USD
172517.04000000
0.160442700753
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.50000000
N
N
N
N
N
N
OZLM Ltd
5493002SZMQH8ZTTHX49
OZLM XVIII Ltd
67112GAG3
250000.00000000
PA
USD
234226.50000000
0.217833161570
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
4.83613000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5JV6
100000.00000000
PA
USD
102296.22000000
0.095136583688
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-466.43000000
-0.00043378491
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-153468.08000000
USD
615806.00000000
BRL
2020-01-17
-466.43
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EE9
150000.00000000
PA
USD
165268.91000000
0.153701861978
Long
DBT
CORP
US
N
2
2028-06-26
Fixed
3.70000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404121AJ4
40000.00000000
PA
USD
45584.00000000
0.042393609762
Long
DBT
CORP
US
N
2
2028-09-01
Fixed
5.62500000
N
N
N
N
N
N
JAGUAR HOLDING CO II
N/A
Jaguar Holding Co II
47009YAK3
50000.00000000
PA
USD
50222.20000000
0.046707185596
Long
LON
CORP
US
N
2
2022-08-18
Floating
4.44460000
N
N
N
N
N
N
AMERICAN AIRLINES INC
IWUQB36BXD6OWD6X4T14
American Airlines Inc
02376CBA2
50000.00000000
PA
USD
50125.00000000
0.046616788551
Long
LON
CORP
US
N
2
2023-12-14
Floating
3.90410000
N
N
N
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962GXZ2
40000.00000000
PA
USD
51388.53000000
0.047791885027
Long
DBT
CORP
US
N
2
2032-03-15
Fixed
6.75000000
N
N
N
N
N
N
PETROLEOS MEXICANOS
549300CAZKPF4HKMPX17
Petroleos Mexicanos
706451BG5
140000.00000000
PA
USD
143430.00000000
0.133391441037
Long
DBT
CORP
MX
N
2
2035-06-15
Fixed
6.62500000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BQ4
30000.00000000
PA
USD
34188.19000000
0.031795384023
Long
DBT
CORP
NL
N
2
2046-05-10
Fixed
4.00000000
N
N
N
N
N
N
Sound Point CLO LTD
N/A
SOUND POINT CLO XXII LTD
83611KAG7
250000.00000000
PA
USD
239009.75000000
0.222281635462
Long
ABS-CBDO
CORP
KY
N
2
2032-01-20
Floating
5.86588000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BY3
20000.00000000
PA
USD
20333.19000000
0.018910085163
Long
DBT
CORP
US
N
2
2022-05-16
Fixed
2.60000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022410
700000.00000000
PA
USD
706398.44000000
0.656958138868
Long
ABS-MBS
USGSE
US
N
2
2034-01-01
Fixed
2.50000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BM5
100000.00000000
PA
USD
114103.94000000
0.106117890152
Long
DBT
CORP
US
N
2
2038-04-01
Fixed
5.37500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-6045.89000000
-0.00562274265
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-300000.00000000
EUR
331053.00000000
USD
2020-01-17
-6045.89
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS7
52474MAA7
248057.79000000
PA
USD
248241.08000000
0.230866871545
Long
ABS-MBS
CORP
US
N
2
2059-11-25
Variable
3.25000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
27286.24000000
0.025376496368
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2020-01-03
119.55
BRL
0
BRL
3450000
BRL
27166.69
N
N
N
Impac CMB Trust
N/A
Impac CMB Trust Series 2005-7
45254NQX8
287192.49000000
PA
USD
266612.05000000
0.247952071026
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
2.31200000
N
N
N
N
N
N
ABBVIE INC
FR5LCKFTG8054YNNRU85
AbbVie Inc
00287YBU2
40000.00000000
PA
USD
40726.55000000
0.037876129073
Long
DBT
CORP
US
N
2
2026-11-21
Fixed
2.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5KB0
340001.67000000
PA
USD
354104.47000000
0.329320961660
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.00000000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
120000.00000000
PA
USD
120112.56000000
0.111705971310
Long
LON
CORP
CA
N
2
2026-11-19
Floating
3.49490000
N
N
N
N
N
N
BNYMELLONCASHRESERVEU
N/A
BNYMELLONCASHRESERVEU
000000000
2905983.38000000
NS
USD
2905983.38000000
2.702595765794
Long
STIV
CORP
US
N
2
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
Morgan Stanley
61744YAP3
130000.00000000
PA
USD
139938.87000000
0.130144652627
Long
DBT
CORP
US
N
2
2029-01-24
Fixed
3.77200000
N
N
N
N
N
N
GRIFOLS WORLDWIDE OPERAT
N/A
Grifols Worldwide Operations USA Inc
39843PAG8
110000.00000000
PA
USD
110811.25000000
0.103055653075
Long
LON
CORP
US
N
2
2027-11-15
Floating
3.73740000
N
N
N
N
N
N
REGIONALCARE HOSPITAL PRTNRS
N/A
RegionalCare Hospital Partners Holdings Inc
75915TAD4
130000.00000000
PA
USD
130920.79000000
0.121757741335
Long
LON
CORP
US
N
2
2025-11-16
Floating
6.40260000
N
N
N
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAF9
50000.00000000
PA
USD
61465.25000000
0.057163342893
Long
DBT
CORP
US
N
2
2045-12-14
Fixed
4.30000000
N
N
N
N
N
N
JOHNSON & JOHNSON
549300G0CFPGEF6X2043
Johnson & Johnson
478160CF9
30000.00000000
PA
USD
33139.79000000
0.030820360759
Long
DBT
CORP
US
N
2
2037-03-03
Fixed
3.62500000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
General Motors Co
37045VAT7
10000.00000000
PA
USD
11086.12000000
0.010310210711
Long
DBT
CORP
US
N
2
2049-04-01
Fixed
5.95000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CA4
20000.00000000
PA
USD
21012.38000000
0.019541739160
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
3.20000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
32446.95000000
0.030176012115
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-517883.80000000
USD
2214989.00000000
BRL
2020-01-17
32446.95
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAX2
50000.00000000
PA
USD
53894.83000000
0.050122770955
Long
DBT
CORP
LU
N
2
2022-02-25
Variable
6.25000000
N
N
N
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YS3
20000.00000000
PA
USD
19714.06000000
0.018334287611
Long
DBT
UST
US
N
2
2029-11-15
Fixed
1.75000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-53.81000000
-0.00005004387
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-30365.63000000
USD
122000.00000000
BRL
2020-01-17
-53.81
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BZ0
30000.00000000
PA
USD
30977.94000000
0.028809817032
Long
DBT
CORP
US
N
2
2024-07-26
Fixed
2.90000000
N
N
N
N
N
N
AMERICAN EXPRESS CO
R4PP93JZOLY261QX3811
American Express Co
025816BY4
90000.00000000
PA
USD
92750.01000000
0.086258505822
Long
DBT
CORP
US
N
2
2021-11-05
Fixed
3.70000000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAQ4
50000.00000000
PA
USD
58062.40000000
0.053998655832
Long
DBT
CORP
US
N
2
2048-03-01
Fixed
5.20000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
60000.00000000
PA
USD
71655.56000000
0.066640440679
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X46A9
291190.89700000
PA
USD
304153.60000000
0.282866115879
Long
ABS-MBS
USGSE
US
N
2
2034-10-01
Fixed
3.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
2046.52000000
0.001903285588
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-42204.27000000
USD
178102.00000000
BRL
2020-01-17
2046.52
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46625HLL2
230000.00000000
PA
USD
292757.44000000
0.272267564637
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
4.95000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140Q95N9
215583.48300000
PA
USD
230435.15000000
0.214307165335
Long
ABS-MBS
USGSE
US
N
2
2048-11-01
Fixed
5.00000000
N
N
N
N
N
N
WPX ENERGY INC
ZXZE9GCS2BB547GJW219
WPX Energy Inc
98212BAJ2
40000.00000000
PA
USD
42200.00000000
0.039246453404
Long
DBT
CORP
US
N
2
2027-10-15
Fixed
5.25000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-7.00000000
NC
USD
-218.75000000
-0.00020343985
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
0.00000000
USD
1000.00000000
133.5
USD
2020-02-21
XXXX
753.52
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
4659.19000000
0.004333096759
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-203849.00000000
GBP
274837.78000000
USD
2020-01-17
4659.19
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
IRS BRL
000000000
1.00000000
NC
1927.32000000
0.001792428307
N/A
DIR
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
Y
2027-04-01
0
BRL
0
BRL
300000
BRL
1927.32
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
2286.65000000
0.002126609068
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-159663.72000000
USD
209991.00000000
CAD
2020-01-17
2286.65
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U5A6
98929.42400000
PA
USD
97769.60000000
0.090926778453
Long
ABS-MBS
USGA
US
N
2
2049-09-20
Fixed
2.50000000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAB2
50000.00000000
PA
USD
52900.00000000
0.049197568366
Long
DBT
CORP
US
N
2
2024-04-15
Fixed
5.25000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-9.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
0.00000000
USD
1000.00000000
168
USD
2020-01-24
XXXX
2093.81
N
N
N
PRIME SECURITY SERVICES BOR
549300O6QPZVWXV2DC15
Prime Security Services Borrower LLC
03765VAJ9
100000.00000000
PA
USD
100166.70000000
0.093156107208
Long
LON
CORP
US
N
2
2026-09-23
Floating
5.04200000
N
N
N
N
N
N
SPRINT CORP
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAF2
70000.00000000
PA
USD
77233.10000000
0.071827612805
Long
DBT
CORP
US
N
2
2023-09-15
Fixed
7.87500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-733.38000000
-0.00068205127
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-60000.00000000
EUR
66686.40000000
USD
2020-01-17
-733.38
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F022410
-700000.00000000
PA
USD
-706398.44000000
-0.65695813886
Short
ABS-MBS
USGSE
US
N
2
2028-01-01
Fixed
2.50000000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BV0
80000.00000000
PA
USD
83323.32000000
0.077491582840
Long
DBT
CORP
US
N
2
2024-06-06
Fixed
3.36300000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
CDS DAIMLER AG
000000000
1.00000000
NC
-14577.57000000
-0.01355729672
N/A
DCR
CORP
FR
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
DAIMLER AG
DAIMLER AG
Y
Default Event
2024-12-20
0
USD
-13077.6
USD
530000
EUR
-1045.94
N
N
N
TEVA PHARMACEUTICALS NE
5493004T21MOAFINJP35
Teva Pharmaceutical Finance Netherlands III BV
88167AAC5
170000.00000000
PA
USD
164636.50000000
0.153113713883
Long
DBT
CORP
NL
N
2
2021-07-21
Fixed
2.20000000
N
N
N
N
N
N
Invesco Senior Loan ETF
549300SIHU6DQELRNG59
Invesco Senior Loan ETF
46138G508
214763.00000000
NS
USD
4900891.66000000
4.557881899838
Long
EC
RF
US
N
1
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R07
20753WAF3
450000.00000000
PA
USD
454227.93000000
0.422436855204
Long
ABS-MBS
CORP
US
N
2
2039-10-25
Floating
3.89200000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38145GAH3
50000.00000000
PA
USD
52622.32000000
0.048939322983
Long
DBT
CORP
US
N
2
2026-11-16
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
305915.51000000
0.284504711109
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-06-30
101237.36
USD
0
USD
21856000
USD
201905.83
N
N
N
SLM Student Loan Trust
54930051VPU2HCJB6841
SLM Student Loan Trust 2006-10
78443BAG1
125000.00000000
PA
USD
117184.30000000
0.108982658048
Long
ABS-O
CORP
US
N
2
2044-03-25
Floating
2.08963000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
488.51000000
0.000454319548
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-123114.42000000
USD
110000.00000000
EUR
2020-01-17
488.51
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5KC8
394497.36000000
PA
USD
415698.10000000
0.386603699333
Long
ABS-MBS
USGSE
US
N
2
2048-09-01
Fixed
4.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UGE6
172329.10000000
PA
USD
182201.63000000
0.169449473506
Long
ABS-MBS
USGA
US
N
2
2048-11-20
Fixed
5.00000000
N
N
N
N
N
N
CSC HOLDINGS LLC
3HG2WD2W22M120IUNG49
CSC Holdings LLC
126307AS6
200000.00000000
PA
USD
213250.00000000
0.198324791195
Long
DBT
CORP
US
N
2
2028-02-01
Fixed
5.37500000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHS1
120000.00000000
PA
USD
144666.38000000
0.134541287720
Long
DBT
CORP
US
N
2
2050-03-15
Fixed
4.33000000
N
N
N
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BJ4
90000.00000000
PA
USD
105916.20000000
0.098503203982
Long
DBT
CORP
US
N
2
2047-08-22
Fixed
4.05000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBA0
10000.00000000
PA
USD
10292.27000000
0.009571921681
Long
DBT
CORP
US
N
2
2022-02-14
Fixed
3.49000000
N
N
N
N
N
N
TEVA PHARMACEUT FIN BV
549300Q840R30TDKVK53
Teva Pharmaceutical Finance Co BV
88165FAF9
40000.00000000
PA
USD
39150.00000000
0.036409920634
Long
DBT
CORP
CW
N
2
2021-11-10
Fixed
3.65000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBF9
180000.00000000
PA
USD
218244.43000000
0.202969664756
Long
DBT
CORP
US
N
2
2049-02-14
Fixed
5.95000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132DMEE1
280077.94200000
PA
USD
295924.63000000
0.275213085366
Long
ABS-MBS
USGSE
US
N
2
2048-07-01
Fixed
4.50000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CC7
50000.00000000
PA
USD
50883.76000000
0.047322443504
Long
DBT
CORP
US
N
2
2022-02-15
Fixed
3.12500000
N
N
N
N
N
N
GILEAD SCIENCES INC
549300WTZWR07K8MNV44
Gilead Sciences Inc
375558BF9
80000.00000000
PA
USD
86159.57000000
0.080129325813
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.65000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-76.57000000
-0.00007121092
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-898788.00000000
PHP
17661.39000000
USD
2020-01-17
-76.57
N
N
N
UNITED RENTALS NORTH AM
NGIZXNT70J2LYT3FBI09
United Rentals North America Inc
911365BG8
50000.00000000
PA
USD
52061.50000000
0.048417754357
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.87500000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BT5
40000.00000000
PA
USD
44813.29000000
0.041676841181
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
5.25000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
1220.72000000
0.001135282715
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-29893.12000000
USD
589044.00000000
MXN
2020-01-17
1220.72
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD88
708238.31200000
PA
USD
735115.70000000
0.683665499211
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
36765.38000000
0.034192198413
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-07-31
8205.76
USD
0
USD
2286000
USD
28294.36
N
N
N
Small Business Administration
N/A
United States Small Business Administration
83162CB51
29164.47000000
PA
USD
29920.05000000
0.027825967966
Long
ABS-MBS
USGA
US
N
2
2039-04-01
Fixed
2.98000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030611
10800000.00000000
PA
USD
10953562.50000000
10.18693081199
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
GENESEE & WYOMING INC
G617XSG94Z7G0RMW3L02
Genesee & Wyoming Inc
55316HAB1
90000.00000000
PA
USD
90787.50000000
0.084433350436
Long
LON
CORP
US
N
2
2026-12-30
Floating
3.78090000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
172.25000000
0.000160194350
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-60457.85000000
USD
244026.00000000
BRL
2020-01-17
172.25
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
165838.92000000
0.154231977402
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2044-11-15
28539
USD
0
USD
3444000
USD
136740.63
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
82.00000000
NC
USD
3587.50000000
0.003336413544
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Put
Purchased
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
EURODOLLAR 1 YEAR MIDCURVE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Short
INTERCONTENTIAL EXCHANGE
3 MONTH EURO INTERBANK OFFER RATE
2021-03-15
0.00000000
USD
2500.00000000
98.375
USD
2020-01-10
XXXX
-15034.7
N
N
N
APPLE INC
HWUPKR0MPOU8FGXBT394
Apple Inc
037833BZ2
140000.00000000
PA
USD
141999.30000000
0.132060874665
Long
DBT
CORP
US
N
2
2026-08-04
Fixed
2.45000000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-7.00000000
NC
13353.94000000
0.012419307677
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UK TSY 4 3/4% 2030
United Kingdom Gilt
2020-03-27
-1231517.68
USD
13353.94
N
N
N
3M COMPANY
LUZQVYP4VS22CLWDAR65
3M Co
88579YBJ9
10000.00000000
PA
USD
9867.10000000
0.009176509013
Long
DBT
CORP
US
N
2
2029-08-26
Fixed
2.37500000
N
N
N
N
N
N
WYNN RESORTS FINANCE LLC
N/A
Wynn Resorts Finance LLC
98313DAC1
130000.00000000
PA
USD
130000.00000000
0.120901396742
Long
LON
CORP
US
N
3
2024-09-20
Floating
3.52990000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38379RDC4
593303.37000000
PA
USD
596590.63000000
0.554835695774
Long
ABS-MBS
USGA
US
N
2
2057-03-16
Fixed
2.85000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-4456.19000000
-0.00414430457
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-1246366.00000000
CNY
174365.70000000
USD
2020-01-17
-4456.19
N
N
N
OSAKA EXCHANGE
3538001249AILNPRUX57
JPN 10Y BOND(OSE)
000000000
-1.00000000
NC
2109.04000000
0.001961429859
N/A
DIR
CORP
JP
N
1
OSAKA EXCHANGE
3538001249AILNPRUX57
Short
JAPAN (10 YEAR ISSUE)
Japan Government Ten Year Bond
2020-03-13
-1402427.45
USD
2109.04
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XUX0
500000.00000000
PA
USD
509241.65000000
0.473600205881
Long
ABS-MBS
CORP
US
N
2
2030-05-25
Floating
4.19200000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
95000U2G7
150000.00000000
PA
USD
151042.62000000
0.140471259428
Long
DBT
CORP
US
N
2
2030-10-30
Fixed
2.87900000
N
N
N
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
6941000000.00000000
PA
498021.01000000
0.463164890124
Long
DBT
NUSS
ID
N
2
2027-05-15
Fixed
7.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
6132.57000000
0.005703355989
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-157849.42000000
USD
660000.00000000
BRL
2020-01-17
6132.57
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEN0
20000.00000000
PA
USD
21186.17000000
0.019703365727
Long
DBT
CORP
US
N
2
2025-02-15
Fixed
3.37600000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
N/A
Change Healthcare Holdings LLC
15911AAC7
19723.15000000
PA
USD
19776.56000000
0.018392413282
Long
LON
CORP
US
N
2
2024-03-01
Floating
4.19710000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGQY7
196194.11000000
PA
USD
204210.80000000
0.189918238076
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.50000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38148YAC2
80000.00000000
PA
USD
81135.16000000
0.075456570530
Long
DBT
CORP
US
N
2
2022-10-31
Fixed
2.87600000
N
N
N
N
N
N
RPI FINANCE TRUST
549300W9M1577I3BNU94
RPI Finance Trust
74966UAP5
40000.00000000
PA
USD
40294.44000000
0.037474262130
Long
LON
CORP
US
N
2
2023-04-17
Floating
3.96590000
N
N
N
N
N
N
SANDS CHINA LTD
549300EVO6UZDGY05787
Sands China Ltd
80007RAF2
200000.00000000
PA
USD
219468.00000000
0.204107598002
Long
DBT
CORP
MO
N
2
2025-08-08
Fixed
5.12500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140QAE55
71349.61000000
PA
USD
75293.85000000
0.070024089470
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.50000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XBB9
72887.83000000
PA
USD
79339.04000000
0.073786159632
Long
ABS-MBS
CORP
US
N
2
2025-07-25
Floating
6.79200000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K0GR3
299007.54300000
PA
USD
303491.04000000
0.282249927960
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5CC5
959501.86000000
PA
USD
1000170.62000000
0.930169422608
Long
ABS-MBS
USGSE
US
N
2
2048-12-01
Fixed
4.00000000
N
N
N
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AC1
420000.00000000
PA
USD
593083.65000000
0.551574166694
Long
DBT
CORP
US
N
2
2031-11-15
Fixed
7.37500000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
90 DAY EURO DOLLAR TIME DEPOSIT
000000000
79.00000000
NC
USD
65064.80000000
0.060510963067
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Long
90 DAY EURO DOLLAR TIME DEPOSIT
90 DAY EURO DOLLAR TIME DEPOSIT
2020-06-15
19351160.2
USD
65064.8
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
-468.91000000
-0.00043609133
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-178359.39000000
USD
12718808.00000000
INR
2020-01-17
-468.91
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
25732.01000000
0.023931045769
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-433641.53000000
USD
8696811.00000000
MXN
2020-01-17
25732.01
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967LW9
50000.00000000
PA
USD
54733.93000000
0.050903142970
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
4.07500000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
852.75000000
0.000793066662
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-4319743.00000000
JPY
40638.43000000
USD
2020-01-17
852.75
N
N
N
BANCO ACTINVER SA
N/A
Banco Actinver SA / Grupo GICSA SAB de CV
89835RAA2
270000.00000000
PA
USD
269716.50000000
0.250839242881
Long
DBT
CORP
MX
N
2
2032-12-18
Fixed
4.80000000
N
N
N
N
N
N
HILTON WORLDWIDE FIN LLC
N/A
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp
432891AK5
20000.00000000
PA
USD
21250.00000000
0.019762728313
Long
DBT
CORP
US
N
2
2027-04-01
Fixed
4.87500000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
Comcast Corp
20030NCM1
60000.00000000
PA
USD
74085.95000000
0.068900729492
Long
DBT
CORP
US
N
2
2048-10-15
Fixed
4.70000000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
IRS BRL
000000000
1.00000000
NC
7914.88000000
0.007360923438
N/A
DIR
CORP
US
N
2
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
2027-04-01
739.73
BRL
0
BRL
1277000
BRL
7175.15
N
N
N
TARGA RESOURCES PARTNERS
N/A
Targa Resources Partners LP / Targa Resources Partners Finance Corp
87612BBM3
20000.00000000
PA
USD
22200.00000000
0.020646238520
Long
DBT
CORP
US
N
2
2029-01-15
Fixed
6.87500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-171.12000000
-0.00015914343
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-184194.00000000
CNY
26256.04000000
USD
2020-01-17
-171.12
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
9218.03000000
0.008572866940
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2044-11-15
216.02
USD
0
USD
164000
USD
8977.63
N
N
N
MCDONALD'S CORP
UE2136O97NLB5BYP9H04
McDonald's Corp
58013MFF6
110000.00000000
PA
USD
120301.63000000
0.111881808441
Long
DBT
CORP
US
N
2
2028-04-01
Fixed
3.80000000
N
N
N
N
N
N
ALLERGAN FUNDING SCS
222100FLFVOSKCBCAR54
Allergan Funding SCS
00507UAU5
10000.00000000
PA
USD
10891.13000000
0.010128867916
Long
DBT
CORP
LU
N
2
2045-03-15
Fixed
4.75000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-369.06000000
-0.00034322976
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-32000.00000000
EUR
35588.16000000
USD
2020-01-17
-369.06
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650DC1
27000.00000000
PA
USD
27448.90000000
0.025527771915
Long
DBT
CORP
US
N
2
2021-03-09
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KHFV3
300000.00000000
PA
USD
306147.59000000
0.284720548003
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
SHELL INTERNATIONAL FIN
213800ITMMKU4Z7I4F78
Shell International Finance BV
822582BF8
100000.00000000
PA
USD
119381.84000000
0.111026393859
Long
DBT
CORP
NL
N
2
2045-05-11
Fixed
4.37500000
N
N
N
N
N
N
HSBC HOLDINGS PLC
MLU0ZO3ML4LN2LL2TL39
HSBC Holdings PLC
404280BT5
200000.00000000
PA
USD
223648.42000000
0.207995433517
Long
DBT
CORP
GB
N
2
2029-06-19
Fixed
4.58300000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599DL6
110000.00000000
PA
USD
141818.64000000
0.131892858924
Long
DBT
CORP
US
N
2
2046-03-15
Fixed
6.60000000
N
N
N
N
N
N
ARES CLO Ltd
549300VFCO6SQG8OL714
ARES XLV CLO Ltd
04015VAE6
250000.00000000
PA
USD
244867.25000000
0.227729173396
Long
ABS-CBDO
CORP
KY
N
2
2030-10-15
Floating
8.10088000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
1934.60000000
0.001799198785
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-105220.84000000
USD
1489821924.00000000
IDR
2020-01-17
1934.6
N
N
N
AMERICAN EXPRESS CREDIT
9ET6B8VCXWW51H8Z3M54
American Express Credit Corp
0258M0DT3
50000.00000000
PA
USD
50060.40000000
0.046556709857
Long
DBT
CORP
US
N
2
2020-05-26
Fixed
2.37500000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CW8
180000.00000000
PA
USD
193259.55000000
0.179733457914
Long
DBT
CORP
US
N
2
2025-03-25
Fixed
4.10000000
N
N
N
N
N
N
VIRGIN MEDIA BRISTOL LLC
N/A
Virgin Media Bristol LLC
000000000
70000.00000000
PA
USD
70388.92000000
0.065462451870
Long
LON
CORP
US
N
2
2028-01-31
Floating
4.38910000
N
N
N
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS CDX.NA.HY.33.V1
000000000
1.00000000
NC
USD
-118198.66000000
-0.10992602374
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.HY.33.V1
Y
Default Event
2024-12-20
0
USD
-82552.25
USD
1207800
USD
-30462.12
N
N
N
SMB Private Education Loan Tru
549300V1P5RKG8RJI005
SMB Private Education Loan Trust 2018-C
78449QAC1
250000.00000000
PA
USD
248858.70000000
0.231441264781
Long
ABS-O
CORP
US
N
2
2035-11-15
Floating
2.48975000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
5 YEAR US TREASURY NOTE
000000000
6.00000000
NC
USD
2062.50000000
0.001918147159
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Purchased
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
0.00000000
USD
1000.00000000
118.5
USD
2020-01-24
XXXX
411.49
N
N
N
CHARTER COMMUNICATIONS OPER
549300TPZNMN50BJ3745
Charter Communications Operating LLC
16117LBW8
50000.00000000
PA
USD
50304.70000000
0.046783911482
Long
LON
CORP
US
N
2
2025-04-30
Floating
3.55480000
N
N
N
N
N
N
REPUBLIC OF INDONESIA
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CE4
1200000.00000000
PA
USD
1321297.63000000
1.228820992153
Long
DBT
NUSS
ID
N
2
2048-01-11
Fixed
4.35000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818FF0
50000.00000000
PA
USD
50731.26000000
0.047180616865
Long
DBT
CORP
US
N
2
2060-03-20
Fixed
3.83900000
N
N
N
N
N
N
1011778 BC ULC
549300RHSHNRWI5LLA86
1011778 BC ULC
000000000
20000.00000000
PA
USD
20018.76000000
0.018617661885
Long
LON
CORP
CA
N
2
2026-11-19
Floating
3.53510000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAZ2
1050000.00000000
PA
USD
1184400.00000000
1.101504725401
Long
DBT
CORP
NL
N
2
2029-02-01
Fixed
5.75000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFC8
100000.00000000
PA
USD
130430.50000000
0.121301766368
Long
DBT
CORP
US
N
2
2044-01-21
Fixed
5.00000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F032617
-5100000.00000000
PA
USD
-5246425.74000000
-4.87923230671
Short
ABS-MBS
USGSE
US
N
2
2041-01-15
Fixed
3.50000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F030413
200000.00000000
PA
USD
204976.56000000
0.190630403104
Long
ABS-MBS
USGSE
US
N
2
2035-01-01
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
2871.94000000
0.002670935056
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-185177.62000000
USD
2614522877.00000000
IDR
2020-01-17
2871.94
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KG5A2
2493599.15010000
PA
USD
2595493.80000000
2.413837120439
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.50000000
N
N
N
N
N
N
HCA INC
L3CJ6J7LJ2DX62FTXD46
HCA Inc
404119BX6
160000.00000000
PA
USD
169772.67000000
0.157890407167
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
4.12500000
N
N
N
N
N
N
PRIME SECSRVC BRW/FINANC
N/A
Prime Security Services Borrower LLC / Prime Finance Inc
74166MAC0
40000.00000000
PA
USD
43475.20000000
0.040432403105
Long
DBT
CORP
US
N
2
2026-04-15
Fixed
5.75000000
N
N
N
N
N
N
SALESFORCE.COM INC
RCGZFPDMRW58VJ54VR07
salesforce.com Inc
79466LAE4
50000.00000000
PA
USD
52011.25000000
0.048371021317
Long
DBT
CORP
US
N
2
2023-04-11
Fixed
3.25000000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAV5
200000.00000000
PA
USD
237171.66000000
0.220572192013
Long
DBT
CORP
US
N
2
2025-12-15
Fixed
5.85000000
N
N
N
N
N
N
EATON CORP
0NZWDMRCE180888QQE14
Eaton Corp
278062AC8
50000.00000000
PA
USD
51020.15000000
0.047449287669
Long
DBT
CORP
US
N
2
2022-11-02
Fixed
2.75000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X4ZB5
93809.07000000
PA
USD
100628.61000000
0.093585688471
Long
ABS-MBS
USGSE
US
N
2
2049-05-01
Fixed
4.50000000
N
N
N
N
N
N
VIRGIN MEDIA SECURED FIN
213800X3RLP4NOTPY579
Virgin Media Secured Finance PLC
92769XAP0
200000.00000000
PA
USD
211750.00000000
0.196929775079
Long
DBT
CORP
GB
N
2
2029-05-15
Fixed
5.50000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBQ1
325000.00000000
PA
USD
332616.25000000
0.309336686187
Long
ABS-O
CORP
US
N
2
2024-02-25
Fixed
3.29000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
368.32000000
0.000342541557
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-26043.55000000
USD
367214089.00000000
IDR
2020-01-17
368.32
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
035240AL4
110000.00000000
PA
USD
121060.89000000
0.112587928399
Long
DBT
CORP
US
N
2
2028-04-13
Fixed
4.00000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140K5G35
100000.00000000
PA
USD
101570.58000000
0.094461730692
Long
ABS-MBS
USGSE
US
N
2
2049-12-01
Fixed
3.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BU1
20000.00000000
PA
USD
25655.83000000
0.023860197550
Long
DBT
CORP
US
N
2
2045-08-15
Fixed
5.00000000
N
N
N
N
N
N
RPI FINANCE TRUST
549300W9M1577I3BNU94
RPI Finance Trust
74966UAP5
50000.00000000
PA
USD
50368.05000000
0.046842827663
Long
LON
CORP
US
N
2
2023-04-17
Floating
3.96590000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAG8
10000.00000000
PA
USD
11237.10000000
0.010450623733
Long
DBT
CORP
US
N
2
2029-04-15
Fixed
5.25000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-92.71000000
-0.00008622129
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-29384.00000000
EUR
32925.00000000
USD
2020-01-17
-92.71
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VDU5
30000.00000000
PA
USD
37677.88000000
0.035040833217
Long
DBT
CORP
US
N
2
2037-03-16
Fixed
5.25000000
N
N
N
N
N
N
ABBOTT LABORATORIES
HQD377W2YR662HK5JX27
Abbott Laboratories
002824BF6
50000.00000000
PA
USD
54632.58000000
0.050808886382
Long
DBT
CORP
US
N
2
2026-11-30
Fixed
3.75000000
N
N
N
N
N
N
UNICREDIT SPA
549300TRUWO2CD2G5692
UniCredit SpA
904678AQ2
200000.00000000
PA
USD
230088.67000000
0.213984935212
Long
DBT
CORP
IT
N
2
2034-04-02
Fixed
7.29600000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
3202.01000000
0.002977903702
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-399139.28000000
USD
521691.00000000
CAD
2020-01-17
3202.01
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
930000.00000000
PA
USD
1056741.08000000
0.982780558211
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
TREASURY BILL
254900HROIFWPRGM1V77
United States Treasury Bill
912796RT8
500000.00000000
PA
USD
500000.00000000
0.465005372087
Long
DBT
UST
US
N
1
2020-01-02
None
0.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
14913.57000000
0.013869780334
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-415838.54000000
USD
5988906604.00000000
IDR
2020-01-17
14913.57
N
N
N
Fannie Mae or Freddie Mac
B1V7KEBTPIMZEU4LTD58
Fannie Mae or Freddie Mac
01F030611
-9200000.00000000
PA
USD
-9330812.50000000
-8.67775587688
Short
ABS-MBS
USGSE
US
N
2
2049-01-15
Fixed
3.00000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38378NWU3
496687.41500000
PA
USD
508553.03000000
0.472959781882
Long
ABS-MBS
USGA
US
N
2
2048-06-16
Variable
2.55199000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
3093.83000000
0.002877295140
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-122278.15000000
USD
2373529.00000000
MXN
2020-01-17
3093.83
N
N
N
DIAGEO INVESTMENT CORP
S4G8DPIPDVCF6CB81Z61
Diageo Investment Corp
25245BAB3
50000.00000000
PA
USD
51010.47000000
0.047440285165
Long
DBT
CORP
US
N
2
2022-05-11
Fixed
2.87500000
N
N
N
N
N
N
Tharaldson Hotel Portfolio Tru
N/A
Tharaldson Hotel Portfolio Trust 2018-THPT
88327HAL7
243024.08000000
PA
USD
243323.68000000
0.226293636712
Long
ABS-MBS
CORP
US
N
2
2034-11-11
Floating
3.71013000
N
N
N
N
N
N
CENTENE CORP
549300Z7JJ4TQSQGT333
Centene Corp
15137TAA8
10000.00000000
PA
USD
10612.50000000
0.009869739022
Long
DBT
CORP
US
N
2
2026-06-01
Fixed
5.37500000
N
N
N
N
N
N
1011778 BC / NEW RED FIN
N/A
1011778 BC ULC / New Red Finance Inc
68245XAC3
100000.00000000
PA
USD
102500.00000000
0.095326101277
Long
DBT
CORP
CA
N
2
2024-05-15
Fixed
4.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418DKT8
8700000.00000000
PA
USD
8824597.75000000
8.206970720523
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
3.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-882.49000000
-0.00082072518
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-4579242.00000000
PHP
89490.76000000
USD
2020-01-17
-882.49
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179UKZ4
63235.16200000
PA
USD
66728.90000000
0.062058593946
Long
ABS-MBS
USGA
US
N
2
2049-01-20
Fixed
5.00000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-11529.63000000
-0.01072267977
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-17189635.00000000
PHP
327715.00000000
USD
2020-01-17
-11529.63
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
1698.23000000
0.001579372146
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-28941.56000000
USD
123320.00000000
BRL
2020-01-17
1698.23
N
N
N
VICI PROPERTIES INC
549300XI4XP4JVS3XU20
VICI Properties 1 LLC
92565EAB9
20000.00000000
PA
USD
20075.00000000
0.018669965689
Long
LON
CORP
US
N
2
2024-12-22
Floating
3.93480000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1736.46000000
-0.00161492645
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-3135932.40000000
RUB
48649.28000000
USD
2020-01-17
-1736.46
N
N
N
NETFLIX INC
549300Y7VHGU0I7CE873
Netflix Inc
64110LAE6
10000.00000000
PA
USD
10312.50000000
0.009590735799
Long
DBT
CORP
US
N
2
2021-02-01
Fixed
5.37500000
N
N
N
N
N
N
AMERICAN INTL GROUP
ODVCVCQG2BP6VHV36M30
American International Group Inc
026874DD6
50000.00000000
PA
USD
53517.32000000
0.049771682599
Long
DBT
CORP
US
N
2
2025-07-10
Fixed
3.75000000
N
N
N
N
N
N
AT&T INC
549300Z40J86GGSTL398
AT&T Inc
00206RCN0
210000.00000000
PA
USD
219927.22000000
0.204534677536
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
3.40000000
N
N
N
N
N
N
CCO HLDGS LLC/CAP CORP
N/A
CCO Holdings LLC / CCO Holdings Capital Corp
1248EPBT9
10000.00000000
PA
USD
10550.00000000
0.009811613351
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
5.12500000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGTS7
126014.92020000
PA
USD
128384.22000000
0.119398703982
Long
ABS-MBS
USGSE
US
N
2
2049-10-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
40290.86000000
0.037470932692
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-500473.21000000
USD
408005.00000000
GBP
2020-01-17
40290.86
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PDP4
20000.00000000
PA
USD
22145.55000000
0.020595599435
Long
DBT
CORP
US
N
2
2028-12-15
Fixed
3.87500000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-IMC
05608BAQ3
300000.00000000
PA
USD
301583.94000000
0.280476304470
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Floating
4.63975000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
ULTRA 10 YEAR US TREASURY NOTE
000000000
-6.00000000
NC
USD
12223.99000000
0.011368442036
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
-856442.74
USD
12223.99
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JQTK9
198685.60000000
PA
USD
203606.22000000
0.189355972180
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-122.46000000
-0.00011388911
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-15035.00000000
EUR
16771.81000000
USD
2020-01-17
-122.46
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140J5W39
79236.49000000
PA
USD
81506.86000000
0.075802255523
Long
ABS-MBS
USGSE
US
N
2
2047-04-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
5659.03000000
0.005262958701
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-264519.56000000
USD
203849.00000000
GBP
2020-01-17
5659.03
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
3132XCRW7
144442.71600000
PA
USD
148786.61000000
0.138373145889
Long
ABS-MBS
USGSE
US
N
2
2046-10-01
Fixed
3.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
769.09000000
0.000715261963
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-30998.84000000
USD
601427.00000000
MXN
2020-01-17
769.09
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YV6
10000.00000000
PA
USD
9919.14000000
0.009224906772
Long
DBT
UST
US
N
2
2024-11-30
Fixed
1.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
170.83000000
0.000158873735
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2026-11-15
1138.04
USD
0
USD
882000
USD
-967.21
N
N
N
DCP MIDSTREAM OPERATING
549300Y6CTBSE0QIPL28
DCP Midstream Operating LP
26439XAH6
10000.00000000
PA
USD
10500.00000000
0.009765112813
Long
DBT
CORP
US
N
2
2036-11-03
Fixed
6.45000000
N
N
N
N
N
N
NORTHROP GRUMMAN CORP
RIMU48P07456QXSO0R61
Northrop Grumman Corp
666807BN1
150000.00000000
PA
USD
156550.37000000
0.145593526104
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
3.25000000
N
N
N
N
N
N
ALBERTSON'S LLC
549300MBYHQDK18CKL60
Albertson's LLC
01310TAX7
30000.00000000
PA
USD
30247.35000000
0.028130360482
Long
LON
CORP
US
N
2
2025-11-17
Floating
4.65260000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
566.42000000
0.000526776685
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-26857.05000000
USD
38996.00000000
AUD
2020-01-17
566.42
N
N
N
AMAZON.COM INC
ZXTILKJKG63JELOEG630
Amazon.com Inc
023135BF2
100000.00000000
PA
USD
113658.45000000
0.105703579666
Long
DBT
CORP
US
N
2
2037-08-22
Fixed
3.87500000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31418CS47
80682.33000000
PA
USD
83864.02000000
0.077994439649
Long
ABS-MBS
USGSE
US
N
2
2048-01-01
Fixed
3.50000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBD4
220000.00000000
PA
USD
245226.29000000
0.228063084454
Long
DBT
CORP
US
N
2
2029-02-14
Fixed
4.80000000
N
N
N
N
N
N
SPRINT COMMUNICATIONS
549300JKU50UT08ZWD77
Sprint Communications Inc
85208EAB6
40000.00000000
PA
USD
39637.52000000
0.036863319472
Long
LON
CORP
US
N
2
2024-02-03
Floating
4.39050000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
315.85000000
0.000293743893
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-59215.33000000
USD
239603.00000000
BRL
2020-01-17
315.85
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
1165.10000000
0.001083555518
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-80259.32000000
USD
105578.00000000
CAD
2020-01-17
1165.1
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828C57
20000.00000000
PA
USD
20152.34000000
0.018741892720
Long
DBT
UST
US
N
2
2021-03-31
Fixed
2.25000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2050.18000000
-0.00190668942
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-1039717.00000000
CNY
147122.82000000
USD
2020-01-17
-2050.18
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-329.49000000
-0.00030642924
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-243531.37000000
EUR
273317.69000000
USD
2020-01-17
-329.49
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
2101.21000000
0.001954147875
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2021-09-15
0
USD
-240.4
USD
1264000
USD
2341.61
N
N
N
BHP BILLITON FIN USA LTD
5493003NUVITP3TMY274
BHP Billiton Finance USA Ltd
055451AV0
30000.00000000
PA
USD
38421.12000000
0.035732054403
Long
DBT
CORP
AU
N
2
2043-09-30
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
15798.78000000
0.014693035144
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-901959.30000000
USD
1190000.00000000
CAD
2020-01-17
15798.78
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-3.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Call
Written
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
0.00000000
USD
1000.00000000
168
USD
2020-01-24
XXXX
932.31
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CW3
150000.00000000
PA
USD
152450.92000000
0.141780993559
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.90000000
N
N
N
N
N
N
ENTERPRISE PRODUCTS OPER
5493004LGN656HWLDA30
Enterprise Products Operating LLC
29379VBT9
170000.00000000
PA
USD
188179.74000000
0.175009180036
Long
DBT
CORP
US
N
2
2028-10-16
Fixed
4.15000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132ACYH7
482061.86000000
PA
USD
501838.84000000
0.466715513044
Long
ABS-MBS
USGSE
US
N
2
2048-10-01
Fixed
4.00000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AL5
90000.00000000
PA
USD
94036.03000000
0.087454518239
Long
DBT
CORP
US
N
2
2023-04-15
Fixed
4.50000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
590000.00000000
PA
USD
681221.81000000
0.633543602466
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
ARCELORMITTAL
2EULGUTUI56JI9SAL165
ArcelorMittal SA
03938LAZ7
160000.00000000
PA
USD
183838.09000000
0.170971398888
Long
DBT
CORP
LU
N
2
2025-06-01
Fixed
6.12500000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - COP
000000000
1.00000000
NC
USD
8702.35000000
0.008093278999
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-126592.16000000
USD
444230886.00000000
COP
2020-01-17
8702.35
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-154.56000000
-0.00014374246
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-1663587.00000000
PHP
32677.02000000
USD
2020-01-17
-154.56
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
331.36000000
0.000308168360
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-48910.70000000
USD
37153.00000000
GBP
2020-01-17
331.36
N
N
N
FOUR SEASONS HOTELS LTD
5493009FUVX8LHYY2202
Four Seasons Hotels Ltd
35100DAR7
30000.00000000
PA
USD
30191.67000000
0.028078577484
Long
LON
CORP
CA
N
2
2023-11-30
Floating
3.94460000
N
N
N
N
N
N
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
SWOP IRS USD
000000000
-320000.00000000
NC
USD
-66.69000000
-0.00006202241
N/A
DIR
CORP
US
N
2
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
Call
Written
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
CITICORP SECURITIES, INC.
549300ISEJNGWSXAKR30
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2020-02-04
0.00000000
USD
0.00000000
USD
0.00000000
USD
1.00000000
USD
1.37
USD
2020-02-04
XXXX
825.31
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
Allied Universal Holdco LLC
01957TAD9
857.88000000
PA
USD
862.38000000
0.000802022665
Long
LON
CORP
US
N
2
2026-07-12
Floating
6.03090000
N
N
N
N
N
N
TORONTO-DOMINION BANK
PT3QB789TSUIDF371261
Toronto-Dominion Bank/The
89114QBZ0
50000.00000000
PA
USD
51066.01000000
0.047491937962
Long
DBT
CORP
CA
N
2
2021-06-11
Fixed
3.25000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
Wells Fargo & Co
94974BGU8
220000.00000000
PA
USD
264197.04000000
0.245706085779
Long
DBT
CORP
US
N
2
2046-12-07
Fixed
4.75000000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAM2
100000.00000000
PA
USD
101757.38000000
0.094635456699
Long
DBT
CORP
US
N
2
2038-04-15
Fixed
4.50000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-724.44000000
-0.00067373698
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-50000.00000000
CAD
37836.82000000
USD
2020-01-17
-724.44
N
N
N
GENERAL ELECTRIC CO
3C7474T6CDKPR9K6YT90
General Electric Co
36962G4B7
310000.00000000
PA
USD
414328.26000000
0.385329733415
Long
DBT
CORP
US
N
2
2039-01-10
Fixed
6.87500000
N
N
N
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAT7
10000.00000000
PA
USD
11360.85000000
0.010565712562
Long
DBT
CORP
US
N
2
2049-02-15
Fixed
5.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAX4
180000.00000000
PA
USD
204856.44000000
0.190518690213
Long
DBT
CORP
US
N
2
2029-12-05
Fixed
4.45200000
N
N
N
N
N
N
VODAFONE GROUP PLC
213800TB53ELEUKM7Q61
Vodafone Group PLC
92857WBK5
30000.00000000
PA
USD
33262.74000000
0.030934705580
Long
DBT
CORP
GB
N
2
2028-05-30
Fixed
4.37500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - MXN
000000000
1.00000000
NC
USD
3924.98000000
0.003650273570
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-217089.36000000
USD
4184220.00000000
MXN
2020-01-17
3924.98
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-66.56000000
-0.00006190151
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-19939.00000000
CNY
2795.20000000
USD
2020-01-17
-66.56
N
N
N
INDONESIA GOVERNMENT
529900FWX0GRR7WG5W79
Indonesia Treasury Bond
000000000
330000000.00000000
PA
23780.34000000
0.022115971700
Long
DBT
NUSS
ID
N
2
2035-06-15
Fixed
7.50000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAB6
90000.00000000
PA
USD
98811.90000000
0.091896128652
Long
DBT
CORP
IE
N
2
2024-02-15
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US 2 YEAR NOTE
000000000
15.00000000
NC
USD
-2457.08000000
-0.00228511079
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-31
3234957.08
USD
-2457.08
N
N
N
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
CDS CDX.NA.IG.33.V1
000000000
1.00000000
NC
USD
58496.37000000
0.054402252595
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
IHS MARKIT LTD
CDX.NA.IG.33.V1
Y
Default Event
2024-12-20
48381.83
USD
0
USD
-2230000
USD
9433.15
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
McAfee LLC
57906PAG4
100000.00000000
PA
USD
100400.00000000
0.093373078715
Long
LON
CORP
US
N
2
2024-09-29
Floating
0.10000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CU7
10000.00000000
PA
USD
10074.00000000
0.009368928236
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
2.60000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBK4
10000.00000000
PA
USD
11442.39000000
0.010641545639
Long
DBT
CORP
US
N
2
2049-07-15
Fixed
4.15000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
2274.17000000
0.002115002534
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-129251.41000000
USD
1828649017.00000000
IDR
2020-01-17
2274.17
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
11410000.00000000
PA
661670.03000000
0.615360236998
Long
DBT
NUSS
MX
N
2
2047-11-07
Fixed
8.00000000
N
N
N
N
N
N
EUREX CLEARING AG
529900LN3S50JPU47S06
EURO-BTP
000000000
23.00000000
NC
6052.99000000
0.005629345734
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AG
529900LN3S50JPU47S06
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2020-03-06
3672075.94
USD
6052.99
N
N
N
ARAMARK SERVICES INC
42YMHYH0XMHJEXDUB065
Aramark Services Inc
03852JAR2
120000.00000000
PA
USD
120525.00000000
0.112089544941
Long
LON
CORP
US
N
2
2026-12-10
Floating
3.53090000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
110.04000000
0.000102338382
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-25213.06000000
USD
1810550.00000000
INR
2020-01-17
110.04
N
N
N
DISH DBS CORP
N/A
DISH DBS Corp
25470XAW5
80000.00000000
PA
USD
81750.00000000
0.076028378336
Long
DBT
CORP
US
N
2
2024-11-15
Fixed
5.87500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2579.26000000
-0.00239873951
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-5337225.40000000
RUB
83175.16000000
USD
2020-01-17
-2579.26
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
5826.17000000
0.005418400697
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-237791.68000000
USD
183809.00000000
GBP
2020-01-17
5826.17
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GFH7
200000.00000000
PA
USD
214762.84000000
0.199731748649
Long
DBT
CORP
US
N
2
2024-08-26
Fixed
4.20000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CN3
60000.00000000
PA
USD
59605.15000000
0.055433429908
Long
DBT
CORP
US
N
2
2048-03-15
Fixed
4.20000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWZ3
230000.00000000
PA
USD
253593.21000000
0.235844409949
Long
DBT
CORP
US
N
2
2029-05-01
Fixed
4.22300000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
110000.00000000
PA
USD
130101.83000000
0.120996099736
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
DELTA AIR LINES INC
Q2CCMS6R0AS67HJMBN42
Delta Air Lines Inc
247361ZU5
50000.00000000
PA
USD
50021.50000000
0.046520532439
Long
DBT
CORP
US
N
2
2024-10-28
Fixed
2.90000000
N
N
N
N
N
N
Symphony CLO Ltd
N/A
Symphony CLO XIX Ltd
87166DAA6
250000.00000000
PA
USD
232332.00000000
0.216071256215
Long
ABS-CBDO
CORP
KY
N
2
2031-04-16
Floating
7.20088000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
6315.88000000
0.005873836258
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-351295.88000000
USD
463693.00000000
CAD
2020-01-17
6315.88
N
N
N
MEX BONOS DESARR FIX RT
254900EGTWEU67VP6075
Mexican Bonos
000000000
5540000.00000000
PA
326529.67000000
0.303676101391
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.50000000
N
N
N
N
N
N
NBCUNIVERSAL MEDIA LLC
VTBDOQJ6KOGQ6K786R46
NBCUniversal Media LLC
63946BAE0
50000.00000000
PA
USD
51568.18000000
0.047958961457
Long
DBT
CORP
US
N
2
2021-04-01
Fixed
4.37500000
N
N
N
N
N
N
BAT CAPITAL CORP
2138005GYEXN7XRHFA84
BAT Capital Corp
05526DBF1
50000.00000000
PA
USD
50286.13000000
0.046766641182
Long
DBT
CORP
US
N
2
2047-08-15
Fixed
4.54000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AG5
130000.00000000
PA
USD
141081.66000000
0.131207459606
Long
DBT
CORP
US
N
2
2025-11-15
Fixed
4.12500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - GBP
000000000
1.00000000
NC
USD
5509.68000000
0.005124061596
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-192057.64000000
USD
149064.00000000
GBP
2020-01-17
5509.68
N
N
N
REPUBLIC SERVICES INC
NKNQHM6BLECKVOQP7O46
Republic Services Inc
760759AU4
10000.00000000
PA
USD
10114.52000000
0.009406612272
Long
DBT
CORP
US
N
2
2024-08-15
Fixed
2.50000000
N
N
N
N
N
N
UNION PACIFIC CORP
549300LMMRSZZCZ8CL11
Union Pacific Corp
907818EY0
100000.00000000
PA
USD
110501.06000000
0.102767173042
Long
DBT
CORP
US
N
2
2028-09-10
Fixed
3.95000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
86.98000000
0.000080892334
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-50959.83000000
USD
3649743.00000000
INR
2020-01-17
86.98
N
N
N
MPLX LP
5493000CZJ19CK4P3G36
MPLX LP
55336VAS9
90000.00000000
PA
USD
98784.11000000
0.091870283653
Long
DBT
CORP
US
N
2
2029-02-15
Fixed
4.80000000
N
N
N
N
N
N
MSHEL
N/A
MSAC 2004-NC8 M1 9/34
61744CHP4
246971.39000000
PA
USD
245517.69000000
0.228334089585
Long
ABS-MBS
CORP
US
N
2
2034-09-25
Floating
2.70700000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWT7
10000.00000000
PA
USD
10281.16000000
0.009561589262
Long
DBT
CORP
US
N
2
2023-02-23
Fixed
3.20000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140JAD21
172719.25200000
PA
USD
180219.85000000
0.167606396813
Long
ABS-MBS
USGSE
US
N
2
2047-02-01
Fixed
3.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
791.97000000
0.000736540609
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-405822.24000000
USD
29072091.00000000
INR
2020-01-17
791.97
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-631.78000000
-0.00058756218
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-2139495.00000000
PHP
41592.05000000
USD
2020-01-17
-631.78
N
N
N
CHANGE HEALTHCARE HOLDINGS
N/A
Change Healthcare Holdings LLC
15911AAC7
9861.57000000
PA
USD
9888.28000000
0.009196206641
Long
LON
CORP
US
N
2
2024-03-01
Floating
4.19710000
N
N
N
N
N
N
MCAFEE LLC
549300713UKUTLV9T378
McAfee LLC
57906PAG4
30000.00000000
PA
USD
30120.00000000
0.028011923614
Long
LON
CORP
US
N
2
2024-09-29
Floating
5.64050000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122CB2
320000.00000000
PA
USD
342471.54000000
0.318502211774
Long
DBT
CORP
US
N
2
2029-07-26
Fixed
3.40000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
1948.82000000
0.001812423538
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-78911.84000000
USD
104847.00000000
CAD
2020-01-17
1948.82
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAH4
20000.00000000
PA
USD
23801.69000000
0.022135827429
Long
DBT
CORP
US
N
2
2045-06-01
Fixed
5.55000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
3617JYJ79
99267.98000000
PA
USD
102686.77000000
0.095499799384
Long
ABS-MBS
USGA
US
N
2
2049-07-20
Fixed
3.50000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
46647PAY2
90000.00000000
PA
USD
95982.50000000
0.089264756252
Long
DBT
CORP
US
N
2
2024-12-05
Fixed
4.02300000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
945.84000000
0.000879641362
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-52679.71000000
USD
745575953.00000000
IDR
2020-01-17
945.84
N
N
N
Symphony CLO Ltd
5493001GRJRD2VIG9H40
California Street CLO IX LP
13079WBA5
250000.00000000
PA
USD
242976.25000000
0.225970523079
Long
ABS-CBDO
CORP
KY
N
2
2032-07-16
Floating
6.38063000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
333.30000000
0.000309972581
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-27000.12000000
USD
380026758.00000000
IDR
2020-01-17
333.3
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - CAD
000000000
1.00000000
NC
USD
5402.04000000
0.005023955240
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-319329.31000000
USD
421059.00000000
CAD
2020-01-17
5402.04
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
Allied Universal Holdco LLC
01957TAC1
9099.10000000
PA
USD
9146.87000000
0.008506687375
Long
LON
CORP
US
N
2
2026-07-12
Floating
6.03090000
N
N
N
N
N
N
DEVON ENERGY CORPORATION
54930042348RKR3ZPN35
Devon Energy Corp
25179MAU7
40000.00000000
PA
USD
46426.97000000
0.043177580919
Long
DBT
CORP
US
N
2
2045-06-15
Fixed
5.00000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FLN91
30000.00000000
PA
USD
32458.44000000
0.030186697939
Long
ABS-MBS
USGSE
US
N
2
2029-03-25
Fixed
3.50500000
N
N
N
N
N
N
MARS INC
N/A
Mars Inc
000000000
10000.00000000
PA
USD
10592.25000000
0.009850906304
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
3.20000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Tru
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR10
45660LKW8
291107.30000000
PA
USD
272674.21000000
0.253589944959
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
2.05200000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132A5HL2
76374.73700000
PA
USD
79346.05000000
0.073792679007
Long
ABS-MBS
USGSE
US
N
2
2047-09-01
Fixed
3.50000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
1260000.00000000
PA
329256.45000000
0.306212036088
Long
DBT
NUSS
BR
N
2
2021-01-01
Fixed
10.00000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
6220000.00000000
PA
110358.46000000
0.102634553510
Long
DBT
NUSS
RU
N
2
2030-04-10
Fixed
7.65000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
466.90000000
0.000434222016
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-26108.91000000
USD
369493359.00000000
IDR
2020-01-17
466.9
N
N
N
NEXSTAR BROADCASTING INC
5493006PK6I4I2OOT688
Nexstar Broadcasting Inc
65336RAW8
80000.00000000
PA
USD
80355.52000000
0.074731496953
Long
LON
CORP
US
N
2
2026-09-19
Floating
4.53510000
N
N
N
N
N
N
BERKSHIRE HATHAWAY FIN
549300RLHFT5RU20WM87
Berkshire Hathaway Finance Corp
084664CR0
70000.00000000
PA
USD
83053.26000000
0.077240424138
Long
DBT
CORP
US
N
2
2049-01-15
Fixed
4.25000000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AN1
110000.00000000
PA
USD
113771.62000000
0.105808828982
Long
DBT
CORP
US
N
2
2024-06-01
Fixed
3.80000000
N
N
N
N
N
N
EXXON MOBIL CORPORATION
J3WHBG0MTS7O8ZVMDC91
Exxon Mobil Corp
30231GAT9
50000.00000000
PA
USD
52457.74000000
0.048786261815
Long
DBT
CORP
US
N
2
2026-03-01
Fixed
3.04300000
N
N
N
N
N
N
Sotera Health Holdings LLC
549300OVT7MBXFLOFU20
SOTERA HEALTH H 11/26 TL
000000000
130000.00000000
PA
USD
130216.71000000
0.121102939371
Long
LON
CORP
US
N
2
2026-11-22
Floating
6.21510000
N
N
N
N
N
N
ASURION LLC
549300KNQVXGIOXWK278
Asurion LLC
04649VAW0
110000.00000000
PA
USD
110527.12000000
0.102791409122
Long
LON
CORP
US
N
2
2024-11-03
Floating
4.78090000
N
N
N
N
N
N
BECTON DICKINSON AND CO
ICE2EP6D98PQUILVRZ91
Becton Dickinson and Co
075887BW8
140000.00000000
PA
USD
148988.00000000
0.138560440753
Long
DBT
CORP
US
N
2
2027-06-06
Fixed
3.70000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VES9
30000.00000000
PA
USD
33093.41000000
0.030777226861
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
3.87500000
N
N
N
N
N
N
KUWAIT INTL BOND
549300FSC1YD0D9XX589
Kuwait International Government Bond
501499AB3
600000.00000000
PA
USD
644784.00000000
0.599656047672
Long
DBT
NUSS
KW
N
2
2027-03-20
Fixed
3.50000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
-1482.53000000
-0.00137876882
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-214389.29000000
USD
856914.00000000
BRL
2020-01-17
-1482.53
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XNX8
125000.00000000
PA
USD
127152.31000000
0.118253014446
Long
ABS-MBS
CORP
US
N
2
2030-01-25
Floating
3.99200000
N
N
N
N
N
N
L3HARRIS TECH INC
549300UTE50ZMDBG8A20
L3Harris Technologies Inc
413875AS4
50000.00000000
PA
USD
59030.73000000
0.054899213136
Long
DBT
CORP
US
N
2
2035-04-27
Fixed
4.85400000
N
N
N
N
N
N
Residential Asset Mortgage Pro
N/A
RAMP Series 2006-NC3 Trust
76112B4P2
270000.00000000
PA
USD
258132.91000000
0.240066379725
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.13200000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
76210000.00000000
PA
1295458.04000000
1.204789895828
Long
DBT
NUSS
RU
N
2
2028-01-19
Fixed
7.05000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
17.31000000
0.000016098485
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-882248.00000000
PHP
17428.84000000
USD
2020-01-17
17.31
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3133KGP51
62060.49960000
PA
USD
63270.89000000
0.058842607493
Long
ABS-MBS
USGSE
US
N
2
2049-09-01
Fixed
3.00000000
N
N
N
N
N
N
UNITEDHEALTH GROUP INC
549300GHBMY8T5GXDE41
UnitedHealth Group Inc
91324PBN1
30000.00000000
PA
USD
39616.21000000
0.036843500943
Long
DBT
CORP
US
N
2
2040-10-15
Fixed
5.70000000
N
N
N
N
N
N
Marathon CLO LTD
N/A
Marathon CLO 14 Ltd
56578HAJ5
250000.00000000
PA
USD
246250.00000000
0.229015145753
Long
ABS-CBDO
CORP
KY
N
2
2033-01-20
Floating
0.01000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
470000.00000000
PA
USD
611951.41000000
0.569121386213
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
Countrywide Alternative Loan T
N/A
Alternative Loan Trust 2005-81
12668BBN2
223814.27000000
PA
USD
207013.70000000
0.192524965191
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
2.07200000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US LONG BOND
000000000
19.00000000
NC
USD
-18520.06000000
-0.01722385478
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
2980738.81
USD
-18520.06
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TNQ4
51958.64000000
PA
USD
53458.59000000
0.049717063068
Long
ABS-MBS
USGA
US
N
2
2047-12-20
Fixed
3.00000000
N
N
N
N
N
N
Motel 6 Trust
N/A
Motel 6 Trust 2017-MTL6
61975FAJ8
561713.64360000
PA
USD
561386.11000000
0.522095113930
Long
ABS-MBS
CORP
US
N
2
2034-08-15
Floating
3.13975000
N
N
N
N
N
N
UNITED TECHNOLOGIES CORP
I07WOS4YJ0N7YRFE7309
United Technologies Corp
913017CY3
80000.00000000
PA
USD
90007.52000000
0.083707960656
Long
DBT
CORP
US
N
2
2028-11-16
Fixed
4.12500000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2004-NC7
61744CFP6
90076.64000000
PA
USD
89393.44000000
0.083136859658
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
2.64700000
N
N
N
N
N
N
CINTAS CORPORATION NO. 2
549300QVUQTTKMTE0G41
Cintas Corp No 2
17252MAM2
50000.00000000
PA
USD
51006.55000000
0.047436639523
Long
DBT
CORP
US
N
2
2022-04-01
Fixed
2.90000000
N
N
N
N
N
N
VERIZON COMMUNICATIONS
2S72QS2UO2OESLG6Y829
Verizon Communications Inc
92343VEA8
300000.00000000
PA
USD
350193.04000000
0.325683289735
Long
DBT
CORP
US
N
2
2033-08-10
Fixed
4.50000000
N
N
N
N
N
N
HILTON WORLDWIDE FINANCE
549300406TN7EY0NPH20
Hilton Worldwide Finance LLC
43289DAH6
110000.00000000
PA
USD
110676.06000000
0.102929924922
Long
LON
CORP
US
N
2
2026-06-21
Floating
3.68480000
N
N
N
N
N
N
CIMAREX ENERGY CO
11KYOFXPU1C4CQL1CL44
Cimarex Energy Co
171798AD3
140000.00000000
PA
USD
145240.23000000
0.135074974386
Long
DBT
CORP
US
N
2
2027-05-15
Fixed
3.90000000
N
N
N
N
N
N
FREEPORT-MCMORAN INC
549300IRDTHJQ1PVET45
Freeport-McMoRan Inc
35671DBC8
85000.00000000
PA
USD
87975.00000000
0.081817695218
Long
DBT
CORP
US
N
2
2043-03-15
Fixed
5.45000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-107.11000000
-0.00009961345
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-1025181.00000000
PHP
20125.27000000
USD
2020-01-17
-107.11
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3138WJFK9
151041.52200000
PA
USD
154697.88000000
0.143870690501
Long
ABS-MBS
USGSE
US
N
2
2046-11-01
Fixed
3.00000000
N
N
N
N
N
N
NOTA DO TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Notas do Tesouro Nacional Serie F
000000000
3997000.00000000
PA
1168242.24000000
1.086477834999
Long
DBT
NUSS
BR
N
2
2027-01-01
Fixed
10.00000000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AT5
230000.00000000
PA
USD
240901.11000000
0.224040620583
Long
DBT
CORP
US
N
2
2024-03-12
Fixed
4.12500000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
1501.08000000
0.001396020527
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-117844.02000000
USD
480344.00000000
BRL
2020-01-17
1501.08
N
N
N
VOC ESCROW LTD
N/A
VOC Escrow Ltd
91832VAA2
40000.00000000
PA
USD
41900.00000000
0.038967450180
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RPL9 Trust
12654WAC7
248832.61000000
PA
USD
248530.03000000
0.231135598150
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Variable
3.31900000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac Gold Pool
31335BCW4
76400.53400000
PA
USD
78626.34000000
0.073123340975
Long
ABS-MBS
USGSE
US
N
2
2047-05-01
Fixed
3.00000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XJ21
42262.11000000
PA
USD
42271.64000000
0.039313079373
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
2.47200000
N
N
N
N
N
N
GLENCORE FUNDING LLC
213800STG1QDNBY87K49
Glencore Funding LLC
378272AN8
60000.00000000
PA
USD
62364.01000000
0.057999199349
Long
DBT
CORP
US
N
2
2027-03-27
Fixed
4.00000000
N
N
N
N
N
N
MARS INC
54930073HKEO6GZBSS03
Mars Inc
571676AA3
20000.00000000
PA
USD
20467.10000000
0.019034622902
Long
DBT
CORP
US
N
2
2025-04-01
Fixed
2.70000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179U4C3
1894796.43700000
PA
USD
1959191.11000000
1.822068782192
Long
ABS-MBS
USGA
US
N
2
2049-10-20
Fixed
3.50000000
N
N
N
N
N
N
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2633.57000000
-0.00244924839
N/A
DFE
CORP
US
N
2
BNP PARIBAS SA
QHSFEYI7HUOXXZ413E03
-142525.00000000
EUR
157516.49000000
USD
2020-01-17
-2633.57
N
N
N
VISA INC
549300JZ4OKEHW3DPJ59
Visa Inc
92826CAD4
80000.00000000
PA
USD
84581.15000000
0.078661378254
Long
DBT
CORP
US
N
2
2025-12-14
Fixed
3.15000000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967HB0
170000.00000000
PA
USD
194393.33000000
0.180787885495
Long
DBT
CORP
US
N
2
2025-09-13
Fixed
5.50000000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS USD
000000000
1.00000000
NC
USD
-51041.31000000
-0.04746896669
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2044-05-15
691.14
USD
0
USD
327000
USD
-51356.48
N
N
N
FIRSTENERGY CORP
549300SVYJS666PQJH88
FirstEnergy Corp
337932AF4
40000.00000000
PA
USD
42172.54000000
0.039220915309
Long
DBT
CORP
US
N
2
2023-03-15
Fixed
4.25000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-3013.72000000
-0.00280279197
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-100000.00000000
GBP
129524.87000000
USD
2020-01-17
-3013.72
N
N
N
FED REPUBLIC OF BRAZIL
254900ZFY40OYEADAP90
Brazilian Government International Bond
105756BW9
850000.00000000
PA
USD
882980.00000000
0.821180886891
Long
DBT
NUSS
BR
N
2
2045-01-27
Fixed
5.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - COP
000000000
1.00000000
NC
USD
1648.04000000
0.001532694906
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-51115.06000000
USD
173244263.00000000
COP
2020-01-17
1648.04
N
N
N
Freddie Mac
N/A
Freddie Mac Pool
3132CWC77
674014.23000000
PA
USD
694108.54000000
0.645528399823
Long
ABS-MBS
USGSE
US
N
2
2033-06-01
Fixed
3.00000000
N
N
N
N
N
N
BP CAPITAL MARKETS PLC
549300CRVT18MXX0AG93
BP Capital Markets PLC
05565QDA3
50000.00000000
PA
USD
53237.55000000
0.049511493493
Long
DBT
CORP
GB
N
2
2025-03-17
Fixed
3.50600000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAG6
90000.00000000
PA
USD
93039.19000000
0.086527446329
Long
DBT
CORP
US
N
2
2025-01-15
Fixed
4.37500000
N
N
N
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QAC4
180000.00000000
PA
USD
198957.61000000
0.185032714935
Long
DBT
CORP
US
N
2
2028-09-21
Fixed
3.93700000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
N/A
Change Healthcare Holdings LLC
15911AAC7
78892.59000000
PA
USD
79106.23000000
0.073569643831
Long
LON
CORP
US
N
2
2024-03-01
Floating
4.19710000
N
N
N
N
N
N
SCIENTIFIC GAMES INTERNATIO
RLTHESQ0RNFQJWPBJN60
Scientific Games International Inc
80875AAP6
120000.00000000
PA
USD
120192.84000000
0.111780632572
Long
LON
CORP
US
N
2
2024-08-14
Floating
4.65410000
N
N
N
N
N
N
New Residential Mortgage Loan
N/A
New Residential Mortgage Loan Trust 2016-3
64829HAD9
493076.50330000
PA
USD
501795.48000000
0.466675187778
Long
ABS-MBS
CORP
US
N
2
2056-09-25
Variable
3.25000000
N
N
N
N
N
N
CVS HEALTH CORP
549300EJG376EN5NQE29
CVS Health Corp
126650CZ1
190000.00000000
PA
USD
225155.01000000
0.209396578404
Long
DBT
CORP
US
N
2
2048-03-25
Fixed
5.05000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
Walmart Inc
931142EM1
10000.00000000
PA
USD
10548.91000000
0.009810599639
Long
DBT
CORP
US
N
2
2026-07-08
Fixed
3.05000000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
27520000.00000000
PA
501566.39000000
0.466462131617
Long
DBT
NUSS
RU
N
2
2039-03-16
Fixed
7.70000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-340.59000000
-0.00031675235
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-643073.00000000
RUB
9991.81000000
USD
2020-01-17
-340.59
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-1854.23000000
-0.00172445382
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-2796969.50000000
RUB
43085.32000000
USD
2020-01-17
-1854.23
N
N
N
TRANSCONT GAS PIPE LINE
N/A
Transcontinental Gas Pipe Line Co LLC
893574AH6
160000.00000000
PA
USD
203353.42000000
0.189120865464
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
7.85000000
N
N
N
N
N
N
CEOC LLC
N/A
CEOC LLC
12768PAB7
50000.00000000
PA
USD
50281.25000000
0.046762102730
Long
LON
CORP
US
N
2
2024-10-06
Floating
4.00330000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140X5CD3
495795.55500000
PA
USD
503581.63000000
0.468336326469
Long
ABS-MBS
USGSE
US
N
2
2049-11-01
Fixed
3.00000000
N
N
N
N
N
N
BENCHMARK Mortgage Trust
N/A
Benchmark 2019-B15 Mortgage Trust
08160KAE4
150000.00000000
PA
USD
153269.52000000
0.142542300354
Long
ABS-MBS
CORP
US
N
2
2072-12-15
Fixed
2.92800000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-818.76000000
-0.00076145559
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-689988.00000000
CNY
98177.01000000
USD
2020-01-17
-818.76
N
N
N
LOCKHEED MARTIN CORP
DPRBOZP0K5RM2YE8UU08
Lockheed Martin Corp
539830BH1
100000.00000000
PA
USD
107285.83000000
0.099776974597
Long
DBT
CORP
US
N
2
2026-01-15
Fixed
3.55000000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F022618
1800000.00000000
PA
USD
1779820.31000000
1.655252011001
Long
ABS-MBS
USGSE
US
N
2
2050-01-01
Fixed
2.50000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
549300AGZIS1CJS4RM30
Wells Fargo Commercial Mortgage Trust 2018-C44
95001JAX5
500000.00000000
PA
USD
556714.90000000
0.517750838442
Long
ABS-MBS
CORP
US
N
2
2051-05-15
Fixed
4.21200000
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS Group AG
902613AA6
200000.00000000
PA
USD
203454.09000000
0.189214489646
Long
DBT
CORP
CH
N
2
2030-08-13
Fixed
3.12600000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141GWV2
400000.00000000
PA
USD
429151.34000000
0.399115357077
Long
DBT
CORP
US
N
2
2029-04-23
Fixed
3.81400000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC
784F5XWPLTWKTBV3E584
Goldman Sachs Group Inc/The
38141EC23
200000.00000000
PA
USD
211539.38000000
0.196733896216
Long
DBT
CORP
US
N
2
2024-07-08
Fixed
3.85000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CY9
60000.00000000
PA
USD
61953.84000000
0.057617736842
Long
DBT
CORP
US
N
2
2049-08-15
Fixed
4.40000000
N
N
N
N
N
N
AMC ENTERTAINMENT HOLDINGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00164DAQ6
20000.00000000
PA
USD
20125.00000000
0.018716466226
Long
LON
CORP
US
N
2
2026-04-22
Floating
4.93600000
N
N
N
N
N
N
CHANGE HEALTHCARE HOLDINGS
N/A
Change Healthcare Holdings LLC
15911AAC7
19723.15000000
PA
USD
19776.56000000
0.018392413282
Long
LON
CORP
US
N
2
2024-03-01
Floating
4.19710000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-653.72000000
-0.00060796662
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-2656964.00000000
PHP
51782.58000000
USD
2020-01-17
-653.72
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-49.83000000
-0.00004634243
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-6187.00000000
EUR
6902.27000000
USD
2020-01-17
-49.83
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBG3
10000.00000000
PA
USD
10709.56000000
0.009960005865
Long
DBT
CORP
US
N
2
2029-06-15
Fixed
3.45000000
N
N
N
N
N
N
CONCHO RESOURCES INC
SYHS7HRDXLL4I0IQ8776
Concho Resources Inc
20605PAK7
40000.00000000
PA
USD
43616.15000000
0.040563488119
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
4.30000000
N
N
N
N
N
N
CAMERON LNG LLC
549300C39FLHGVD73K22
Cameron LNG LLC
133434AB6
60000.00000000
PA
USD
60599.37000000
0.056358065190
Long
DBT
CORP
US
N
2
2035-01-15
Fixed
3.30200000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - IDR
000000000
1.00000000
NC
USD
1063.83000000
0.000989373329
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-52519.02000000
USD
744982294.00000000
IDR
2020-01-17
1063.83
N
N
N
ANHEUSER-BUSCH CO/INBEV
N/A
Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc
03522AAG5
220000.00000000
PA
USD
234643.76000000
0.218221217853
Long
DBT
CORP
US
N
2
2026-02-01
Fixed
3.65000000
N
N
N
N
N
N
BANCO SANTANDER SA
5493006QMFDDMYWIAM13
Banco Santander SA
05964HAG0
200000.00000000
PA
USD
208644.93000000
0.194042026617
Long
DBT
CORP
ES
N
2
2023-04-12
Fixed
3.84800000
N
N
N
N
N
N
KINDER MORGAN INC
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAP6
30000.00000000
PA
USD
32712.51000000
0.030422985768
Long
DBT
CORP
US
N
2
2028-03-01
Fixed
4.30000000
N
N
N
N
N
N
DUKE ENERGY OHIO INC
L6KC0HABGHNFU1Z6QY21
Duke Energy Ohio Inc
26442EAF7
100000.00000000
PA
USD
108684.27000000
0.101077538822
Long
DBT
CORP
US
N
2
2029-02-01
Fixed
3.65000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD
46591JAL0
400000.00000000
PA
USD
400245.56000000
0.372232671108
Long
ABS-MBS
CORP
US
N
2
2029-09-15
Floating
3.58975000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967EW7
130000.00000000
PA
USD
217029.36000000
0.201839636601
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
8.12500000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
Royal Bank of Canada
78013XKG2
50000.00000000
PA
USD
50893.09000000
0.047331120504
Long
DBT
CORP
CA
N
2
2021-04-30
Fixed
3.20000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - AUD
000000000
1.00000000
NC
USD
1184.25000000
0.001101365223
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-45247.75000000
USD
66026.00000000
AUD
2020-01-17
1184.25
N
N
N
COOPERATIEVE RABOBANK UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
21684AAC0
250000.00000000
PA
USD
271307.99000000
0.252319345680
Long
DBT
CORP
NL
N
2
2025-08-04
Fixed
4.37500000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
240000.00000000
PA
4165.43000000
0.003873894654
Long
DBT
NUSS
RU
N
2
2034-05-10
Fixed
7.25000000
N
N
N
N
N
N
OCCIDENTAL PETROLEUM COR
IM7X0T3ECJW4C1T7ON55
Occidental Petroleum Corp
674599CS2
240000.00000000
PA
USD
245009.10000000
0.227861095420
Long
DBT
CORP
US
N
2
2029-08-15
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHQ5
70000.00000000
PA
USD
76850.76000000
0.071472032498
Long
DBT
CORP
US
N
2
2030-02-07
Fixed
3.97400000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
06051GHG7
660000.00000000
PA
USD
719249.82000000
0.668910060346
Long
DBT
CORP
US
N
2
2029-03-05
Fixed
3.97000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-278.15000000
-0.00025868248
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-168503.00000000
CNY
23897.75000000
USD
2020-01-17
-278.15
N
N
N
EUREX CLEARING AG
529900LN3S50JPU47S06
EURO-BUND
000000000
-94.00000000
NC
173445.46000000
0.161306141328
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AG
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2020-03-06
-18162058.19
USD
173445.46
N
N
N
US TREASURY N/B
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912810SF6
30000.00000000
PA
USD
33932.81000000
0.031557877880
Long
DBT
UST
US
N
2
2049-02-15
Fixed
3.00000000
N
N
N
N
N
N
WASTE MANAGEMENT INC
549300YX8JIID70NFS41
Waste Management Inc
94106LBJ7
90000.00000000
PA
USD
100845.13000000
0.093787054397
Long
DBT
CORP
US
N
2
2039-07-15
Fixed
4.00000000
N
N
N
N
N
N
JAGUAR HOLDING CO II
N/A
Jaguar Holding Co II
47009YAK3
10000.00000000
PA
USD
10044.44000000
0.009341437119
Long
LON
CORP
US
N
2
2022-08-18
Floating
4.44460000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179USU7
96055.83000000
PA
USD
99585.97000000
0.092616022069
Long
ABS-MBS
USGA
US
N
2
2049-05-20
Fixed
4.00000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
1195.74000000
0.001112051047
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-144880.45000000
USD
130000.00000000
EUR
2020-01-17
1195.74
N
N
N
APACHE CORP
72ZZ1XRHOOU9P9X16K08
Apache Corp
037411BE4
30000.00000000
PA
USD
31379.65000000
0.029183411648
Long
DBT
CORP
US
N
2
2028-10-15
Fixed
4.37500000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-616.44000000
-0.00057329582
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-346044.00000000
CNY
49032.09000000
USD
2020-01-17
-616.44
N
N
N
Fannie Mae - CAS
N/A
Fannie Mae Connecticut Avenue Securities
30711XYX6
250000.00000000
PA
USD
253288.33000000
0.235560868274
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
4.04200000
N
N
N
N
N
N
SMB Private Education Loan Tru
N/A
SMB Private Education Loan Trust 2019-B
83192CAC1
100000.00000000
PA
USD
99777.49000000
0.092794137726
Long
ABS-O
CORP
US
N
2
2037-06-15
Floating
2.73975000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
US ULTRA BOND
000000000
73.00000000
NC
USD
-438929.65000000
-0.40820929043
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
US TREASURY N/B
United States Treasury Note/Bond
2020-03-20
13699835.9
USD
-438929.65
N
N
N
AVOLON TLB BORROWER 1 US
635400O84AGITYFZQB55
Avolon TLB Borrower 1 US LLC
05400KAE0
60000.00000000
PA
USD
60337.50000000
0.056114523276
Long
LON
CORP
US
N
2
2025-01-15
Floating
3.65060000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - INR
000000000
1.00000000
NC
USD
-66.09000000
-0.00006146441
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-25136.77000000
USD
1792503.00000000
INR
2020-01-17
-66.09
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Ginnie Mae II Pool
36179TZ65
130471.27000000
PA
USD
137430.41000000
0.127811757876
Long
ABS-MBS
USGA
US
N
2
2048-06-20
Fixed
4.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC WHOLESALE
N/A
CURRENCY CONTRACT - EUR
000000000
1.00000000
NC
USD
10790.21000000
0.010035011231
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC WHOLESALE
N/A
-662498.53000000
USD
599191.00000000
EUR
2020-01-17
10790.21
N
N
N
BP CAP MARKETS AMERICA
5493009NTB34VXE1T760
BP Capital Markets America Inc
10373QBE9
20000.00000000
PA
USD
21310.00000000
0.019818528958
Long
DBT
CORP
US
N
2
2026-02-11
Fixed
3.41000000
N
N
N
N
N
N
ALLIED UNIVERSAL HOLDCO LLC
N/A
Allied Universal Holdco LLC
01957TAD9
8108.10000000
PA
USD
8150.67000000
0.007580210672
Long
LON
CORP
US
N
2
2026-07-12
Floating
6.03090000
N
N
N
N
N
N
ANHEUSER-BUSCH INBEV WOR
549300CRGMZK3K53BF92
Anheuser-Busch InBev Worldwide Inc
03523TBV9
80000.00000000
PA
USD
103945.30000000
0.096670245806
Long
DBT
CORP
US
N
2
2049-01-23
Fixed
5.55000000
N
N
N
N
N
N
ALTRIA GROUP INC
XSGZFLO9YTNO9VCQV219
Altria Group Inc
02209SBC6
100000.00000000
PA
USD
108714.61000000
0.101105755348
Long
DBT
CORP
US
N
2
2026-02-14
Fixed
4.40000000
N
N
N
N
N
N
SENSATA TECH INC
N/A
Sensata Technologies Inc
81728UAA2
40000.00000000
PA
USD
40776.80000000
0.037922862113
Long
DBT
CORP
US
N
2
2030-02-15
Fixed
4.37500000
N
N
N
N
N
N
INTESA SANPAOLO SPA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAZ0
200000.00000000
PA
USD
202678.77000000
0.188493433716
Long
DBT
CORP
IT
N
2
2022-07-14
Fixed
3.12500000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
Danske Bank A/S
23636AAU5
400000.00000000
PA
USD
403545.65000000
0.375301790265
Long
DBT
CORP
DK
N
2
2022-09-20
Fixed
3.00100000
N
N
N
N
N
N
NADG NNN Operating LP
N/A
NADG NNN Operating LP
629682AA3
150000.00000000
PA
USD
149045.85000000
0.138614241874
Long
ABS-O
CORP
US
N
2
2049-12-28
Fixed
3.36800000
N
N
N
N
N
N
RUSSIA GOVT BOND - OFZ
5493004EHVGF71PDBU58
Russian Federal Bond - OFZ
000000000
16140000.00000000
PA
273896.34000000
0.254726538990
Long
DBT
NUSS
RU
N
2
2029-05-23
Fixed
6.90000000
N
N
N
N
N
N
CITIBANK NA
E57ODZWZ7FF32TWEFA76
CURRENCY CONTRACT - BRL
000000000
1.00000000
NC
USD
5242.43000000
0.004875516225
N/A
DFE
CORP
US
N
2
CITIBANK NA
E57ODZWZ7FF32TWEFA76
-129020.06000000
USD
540384.00000000
BRL
2020-01-17
5242.43
N
N
N
BROOKFIELD WEC HOLDINGS
5493002M6GRSU1IWMG57
Brookfield WEC Holdings Inc
11284EAB9
20000.00000000
PA
USD
20108.34000000
0.018700972247
Long
LON
CORP
US
N
2
2025-08-01
Floating
5.39050000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS MXN
000000000
1.00000000
NC
8813.74000000
0.008196872896
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2021-04-05
0
MXN
-18581.42
MXN
30500000
MXN
27530.42
N
N
N
RANGE RESOURCES CORP
H3Y3WLYCX0BTO1TRW162
Range Resources Corp
75281AAS8
70000.00000000
PA
USD
59850.00000000
0.055661143038
Long
DBT
CORP
US
N
2
2025-05-15
Fixed
4.87500000
N
N
N
N
N
N
DCERT BUYER INC
N/A
Dcert Buyer Inc
24022KAB5
80000.00000000
PA
USD
80100.00000000
0.074493860608
Long
LON
CORP
US
N
2
2026-10-16
Floating
6.00330000
N
N
N
N
N
N
CONTINENTAL RESOURCES
XXRTID9RYWOZ0UPIVR53
Continental Resources Inc/OK
212015AS0
10000.00000000
PA
USD
10633.80000000
0.009889548251
Long
DBT
CORP
US
N
2
2028-01-15
Fixed
4.37500000
N
N
N
N
N
N
KINDER MORGAN INC/DELAWA
549300WR7IX8XE0TBO16
Kinder Morgan Inc/DE
49456BAJ0
20000.00000000
PA
USD
22443.85000000
0.020873021640
Long
DBT
CORP
US
N
2
2046-02-15
Fixed
5.05000000
N
N
N
N
N
N
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
CURRENCY CONTRACT - USD
000000000
1.00000000
NC
USD
-2729.30000000
-0.00253827832
N/A
DFE
CORP
US
N
2
J.P. MORGAN CHASE BANK NA
7H6GLXDRUGQFU57RNE97
-5051996.00000000
RUB
78442.27000000
USD
2020-01-17
-2729.3
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
10000.00000000
PA
USD
10654.00000000
0.009908334468
Long
DBT
CORP
IE
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
TRANS UNION LLC
X8NPN6PWJOM1QCTYFV34
Trans Union LLC
89334GAX2
40000.00000000
PA
USD
40143.76000000
0.037334128111
Long
LON
CORP
US
N
2
2026-11-13
Floating
3.53090000
N
N
N
N
N
N
Fanniemae-Aces
N/A
Fannie Mae-Aces
3136B6XU2
99998.25790000
PA
USD
100461.46000000
0.093430237175
Long
ABS-MBS
USGSE
US
N
2
2031-10-25
Variable
2.72000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
Barclays PLC
06738EBK0
200000.00000000
PA
USD
223008.07000000
0.207399901137
Long
DBT
CORP
GB
N
2
2030-06-20
Fixed
5.08800000
N
N
N
N
N
N
2020-02-25
Legg Mason ETF Investment Trust
Christopher Berarducci
Christopher Berarducci
Principal Financial Officer